[Numpy-discussion] Valid algorithm for generating a 3D Wiener Process?
David Goldsmith
d.l.goldsmith at gmail.com
Wed Sep 25 02:59:40 EDT 2013
Is this a valid algorithm for generating a 3D Wiener process? (When I
graph the results, they certainly look like potential Brownian motion
tracks.)
def Wiener3D(incr, N):
r = incr*(R.randint(3, size=(N,))-1)
r[0] = 0
r = r.cumsum()
t = 2*np.pi*incr*(R.randint(3, size=(N,))-1)
t[0] = 0
t = t.cumsum()
p = np.pi*incr*(R.randint(3, size=(N,))-1)
p[0] = 0
p = p.cumsum()
x = r*np.cos(t)*np.sin(p)
y = r*np.sin(t)*np.sin(p)
z = r*np.cos(p)
return np.array((x,y,z)).T
Thanks!
DG
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