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Vectorized sampling from a non homogeneous Poisson Point Process (NHPPP) from an interval (thinning method) with piecewise constant_majorizers (C++)

Source: R/vdraw_intensity.R
vdraw_intensity.Rd

Vectorized sampling from a non homogeneous Poisson Point Process (NHPPP) from an interval (thinning method) with piecewise constant_majorizers. The majorizers are step functions over equal-length time intevals.

Usage

vdraw_intensity(
  lambda = NULL,
  lambda_args = NULL,
  Lambda_maj_matrix = NULL,
  lambda_maj_matrix = NULL,
  rate_matrix_t_min = NULL,
  rate_matrix_t_max = NULL,
  t_min = NULL,
  t_max = NULL,
  tol = 10^-6,
  atmost1 = FALSE,
  atleast1 = FALSE,
  atmostB = NULL
)

Arguments

lambda

(function) intensity function, vectorized

lambda_args

(list) optional arguments to pass to lambda

Lambda_maj_matrix

(matrix) integrated intensity rates at the end of each interval

lambda_maj_matrix

(matrix) intensity rates, one per interval

rate_matrix_t_min

(scalar | vector | column matrix) is the lower bound of the time interval for each row of (Lambda|lambda)_maj_matrix. The length of this argument is the number of point processes that should be drawn.

rate_matrix_t_max

(scalar | vector | column matrix) the upper bound of the time interval for each row of (Lambda|lambda)_maj_matrix. The length of this argument is the number of point processes that should be drawn.

t_min

(scalar | vector | column matrix) is the lower bound of a subinterval of (rate_matrix_t_min, rate_matrix_t_max]. If set, times are sampled from the subinterval. If omitted, it is equivalent to rate_matrix_t_min.

t_max

(scalar | vector | column matrix) is the upper bound of a subinterval of (rate_matrix_t_min, rate_matrix_t_max]. If set, times are sampled from the subinterval. If omitted, it is equivalent to rate_matrix_t_max.

tol

(scalar, double) tolerance for the number of events

atmost1

boolean, draw at most 1 event time

atleast1

boolean, draw at least 1 event time

atmostB

If not NULL, draw at most B (B>0) event times. NULL means ignore.

Value

a matrix of event times (columns) per draw (rows) NAs are structural empty spots

Examples

x <- vdraw_intensity(
  lambda = function(x, ...) 0.1 * x,
  lambda_maj_matrix = matrix(rep(1, 5), nrow = 1),
  rate_matrix_t_min = 1,
  rate_matrix_t_max = 5
)