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Karhunen-Loeve Expansion

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karhunenloeveexpansion.zip
Filename karhunenloeveexpansion.zip (Download)
Title Karhunen-Loeve Expansion
Description This program will generate a Karhunen-Loeve Expansion as an approximation to a Wiener Process. The program will ask for the number of Gaussian RV to generate (I suggest the number is small, like 10 or 15) and an ending time (T = 1 is usually standard as beyond this the variance begins to overtake the process theoretically). The program will compute the expansion and plot it along with a linear interpolation of the Gaussian RV input earlier. Great for Numerical SDEs. Enjoy!
Author Jeremy Lane (jerlanesde@gmail.com)
Category TI-83/84 Plus BASIC Math Programs (Misc.)
File Size 851 bytes
File Date and Time Sat May 11 02:59:21 2013
Documentation Included? Yes

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ARCHIVE CONTENTS

Archive Contents
Name Size
KarhunenLoeve Expansion file.txt   571
KLEXP.8xp   340

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