How to Cause Diffusion

Genetic Algorithms and Machine Learning for Programmers — Pragmatic Programmers (40 / 70)

👈 Your Mission: Make Small Random Steps | TOC | Let’s Diffuse Some Particles 👉

You now have an overview of how to build Brownian motion, Geometric Brownian motion, and Jump Diffusion. This section will show you how to get random numbers for the stochastic part of the simulation, and how to draw pictures in C++.

C++ introduced a random number library from C++11, with a variety of statistical distributions including the Gaussian and Poisson flavors you need. You will therefore have this avaiable, without needing to install a library, if you use a current compiler — for example, anything from GCC4.8.1.[37] You can use the older rand C call instead, but this is error prone and you will likely need to resort to some tricks to get the distributions you need. The new standard C++ library is much easier to use — simply include the header.

Include the random header and simulate rolling a die like this:

There are many options for drawing in C++. This chapter will use the Simple and Fast Media Library (SFML).[39] You will need the library built for your partiucular operating system and toolchain. You will also need…

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