Converting Sim.DiffProc Objects to LaTeX

A.C. Guidoum1 and K. Boukhetala2

2018-11-28

The TEX.sde() function

TEX.sde(object,...) produces the related LATEX code (table and mathematic expression) for Sim.DiffProc environment, which can be copied and pasted in a scientific article.

LaTeX table for object of class MCM.sde

The Monte Carlo results of MCM.sde class can be presented in terms of LaTeX tables.

\[\begin{equation}\label{eq01} \begin{cases} dX_t = -\frac{1}{\mu} X_t dt + \sqrt{\sigma} dW_t\\ dY_t = X_{t} dt \end{cases} \end{equation}\]
R> mu=1;sigma=0.5;theta=2
R> x0=0;y0=0;init=c(x0,y0)
R> f <- expression(1/mu*(theta-x), x)  
R> g <- expression(sqrt(sigma),0)
R> mod2d <- snssde2d(drift=f,diffusion=g,M=500,Dt=0.015,x0=c(x=0,y=0))
R> ## true values of first and second moment at time 10
R> Ex <- function(t) theta+(x0-theta)*exp(-t/mu)
R> Vx <- function(t) 0.5*sigma*mu *(1-exp(-2*(t/mu)))
R> Ey <- function(t) y0+theta*t+(x0-theta)*mu*(1-exp(-t/mu))
R> Vy <- function(t) sigma*mu^3*((t/mu)-2*(1-exp(-t/mu))+0.5*(1-exp(-2*(t/mu))))
R> covxy <- function(t) 0.5*sigma*mu^2 *(1-2*exp(-t/mu)+exp(-2*(t/mu)))
R> tvalue = list(m1=Ex(15),m2=Ey(15),S1=Vx(15),S2=Vy(15),C12=covxy(15))
R> ## function of the statistic(s) of interest.
R> sde.fun2d <- function(data, i){
+   d <- data[i,]
+   return(c(mean(d$x),mean(d$y),var(d$x),var(d$y),cov(d$x,d$y)))
+ }
R> ## Parallel Monte-Carlo of 'OUI' at time 10
R> mcm.mod2d = MCM.sde(mod2d,statistic=sde.fun2d,time=15,R=10,exact=tvalue,parallel="snow",ncpus=2)
R> mcm.mod2d$MC
    Exact Estimate     Bias Std.Error    RMSE    CI( 2.5 % , 97.5 % )
m1   2.00  2.00366 -0.00366   0.00579 0.01775   ( 1.99231 , 2.01501 )
m2  28.00 28.01502 -0.01502   0.02961 0.09010 ( 27.95699 , 28.07305 )
S1   0.25  0.25118 -0.00118   0.00336 0.01014   ( 0.24459 , 0.25777 )
S2   6.75  6.50362  0.24638   0.14744 0.50630    ( 6.21464 , 6.7926 )
C12  0.25  0.25272 -0.00272   0.01484 0.04461   ( 0.22363 , 0.28181 )

In R we create simple LaTeX table for this object using the following code:

R> TEX.sde(object = mcm.mod2d, booktabs = TRUE, align = "r", caption ="LaTeX 
+           table for Monte Carlo results generated by `TEX.sde()` method.")
%%% LaTeX table generated in R 3.5.1 by TEX.sde() method 
%%% Copy and paste the following output in your LaTeX file 

\begin{table}

\caption{\label{tab:unnamed-chunk-2}LaTeX 
          table for Monte Carlo results generated by `TEX.sde()` method.}
\centering
\begin{tabular}[t]{lrrrrrr}
\toprule
  & Exact & Estimate & Bias & Std.Error & RMSE & CI( 2.5 \% , 97.5 \% )\\
\midrule
$m_{1}(t)$ & 2.00 & 2.00366 & -0.00366 & 0.00579 & 0.01775 & ( 1.99231 , 2.01501 )\\
$m_{2}(t)$ & 28.00 & 28.01502 & -0.01502 & 0.02961 & 0.09010 & ( 27.95699 , 28.07305 )\\
$S_{1}(t)$ & 0.25 & 0.25118 & -0.00118 & 0.00336 & 0.01014 & ( 0.24459 , 0.25777 )\\
$S_{2}(t)$ & 6.75 & 6.50362 & 0.24638 & 0.14744 & 0.50630 & ( 6.21464 , 6.7926 )\\
$C_{12}(t)$ & 0.25 & 0.25272 & -0.00272 & 0.01484 & 0.04461 & ( 0.22363 , 0.28181 )\\
\bottomrule
\end{tabular}
\end{table} 

For inclusion in LaTeX documents, and optionally if we use booktabs = TRUE in the previous function, the LaTeX add-on package booktabs must be loaded into the .tex document.

LaTeX table for Monte Carlo results generated by TEX.sde() method.
Exact Estimate Bias Std.Error RMSE CI( 2.5 % , 97.5 % )
m1 2.00 2.00366 -0.00366 0.00579 0.01775 ( 1.99231 , 2.01501 )
m2 28.00 28.01502 -0.01502 0.02961 0.09010 ( 27.95699 , 28.07305 )
S1 0.25 0.25118 -0.00118 0.00336 0.01014 ( 0.24459 , 0.25777 )
S2 6.75 6.50362 0.24638 0.14744 0.50630 ( 6.21464 , 6.7926 )
C12 0.25 0.25272 -0.00272 0.01484 0.04461 ( 0.22363 , 0.28181 )

LaTeX mathematic for object of class MEM.sde

we want to automatically generate the LaTeX code appropriate to moment equations obtained from the previous model using TEX.sde() method.

R> mem.oui <- MEM.sde(drift = f, diffusion = g)
R> mem.oui
Itô Sde 2D:
 | dX(t) = 1/mu * (theta - X(t)) * dt + sqrt(sigma) * dW1(t)
 | dY(t) = X(t) * dt + 0 * dW2(t)
 | t in [t0,T].

Moment equations: 
 | dm1(t)  = (theta - m1(t))/mu
 | dm2(t)  = m1(t)
 | dS1(t)  = sigma - 2 * (S1(t)/mu)
 | dS2(t)  = 2 * C12(t)
 | dC12(t) = S1(t) - C12(t)/mu

In R we create LaTeX mathematical expressions for this object using the following code:

R> TEX.sde(object = mem.oui)
%%% LaTeX equation generated in R 3.5.1 by TEX.sde() method
%%% Copy and paste the following output in your LaTeX file

\begin{equation}\label{eq:}
\begin{cases}
\begin{split}
\frac{d}{dt} m_{1}(t) ~&= \frac{\left( \theta - m_{1}(t) \right)}{\mu} \\
\frac{d}{dt} m_{2}(t) ~&= m_{1}(t) \\
\frac{d}{dt} S_{1}(t) ~&= \sigma - 2 \, \left( \frac{S_{1}(t)}{\mu} \right) \\
\frac{d}{dt} S_{2}(t) ~&= 2 \, C_{12}(t) \\
\frac{d}{dt} C_{12}(t) &= S_{1}(t) - \frac{C_{12}(t)}{\mu}
\end{split}
\end{cases}
\end{equation}

that can be typed with LaTeX to produce a system:

\[\begin{equation} \begin{cases} \begin{split} \frac{d}{dt} m_{1}(t) ~&= \frac{\left( \theta - m_{1}(t) \right)}{\mu} \\ \frac{d}{dt} m_{2}(t) ~&= m_{1}(t) \\ \frac{d}{dt} S_{1}(t) ~&= \sigma - 2 \, \left( \frac{S_{1}(t)}{\mu} \right) \\ \frac{d}{dt} S_{2}(t) ~&= 2 \, C_{12}(t) \\ \frac{d}{dt} C_{12}(t) &= S_{1}(t) - \frac{C_{12}(t)}{\mu} \end{split} \end{cases} \end{equation}\]

Note that it is obvious the LaTeX package amsmath must be loaded into the .tex document.

LaTeX mathematic for an R expression of SDEs

In this section, we will convert the R expressions of a SDEs, i.e., drift and diffusion coefficients into their LaTeX mathematical equivalents with the same procedures previous. An example sophisticated that will make this clear.

R> f <- expression((alpha*x *(1 - x / beta)- delta * x^2 * y / (kappa + x^2)),
+                 (gamma * x^2 * y / (kappa + x^2) - mu * y^2)) 
R> g <- expression(sqrt(sigma1)*x*(1-y), abs(sigma2)*y*(1-x))  
R> TEX.sde(object=c(drift = f, diffusion = g))
%%% LaTeX equation generated in R 3.5.1 by TEX.sde() method
%%% Copy and paste the following output in your LaTeX file

\begin{equation}\label{eq:}
\begin{cases}
\begin{split}
dX_{t} &= \left( \alpha \, X_{t} \, \left( 1 - \frac{X_{t}}{\beta} \right) - \frac{\delta \, X_{t}^2 \, Y_{t}}{\left( \kappa + X_{t}^2 \right)} \right) \:dt +  \sqrt{\sigma_{1}} \, X_{t} \, \left( 1 - Y_{t} \right) \:dW_{1,t} \\
dY_{t} &= \left( \frac{\gamma \, X_{t}^2 \, Y_{t}}{\left( \kappa + X_{t}^2 \right)} - \mu \, Y_{t}^2 \right) \:dt +  \left| \sigma_{2}\right|  \, Y_{t} \, \left( 1 - X_{t} \right) \:dW_{2,t}
\end{split}
\end{cases}
\end{equation}

under LaTeX will create this system:

\[\begin{equation*} \begin{cases} \begin{split} dX_{t} &= \left( \alpha \, X_{t} \, \left( 1 - \frac{X_{t}}{\beta} \right) - \frac{\delta \, X_{t}^2 \, Y_{t}}{\left( \kappa + X_{t}^2 \right)} \right) \:dt + \sqrt{\sigma_{1}} \, X_{t} \, \left( 1 - Y_{t} \right) \:dW_{1,t} \\ dY_{t} &= \left( \frac{\gamma \, X_{t}^2 \, Y_{t}}{\left( \kappa + X_{t}^2 \right)} - \mu \, Y_{t}^2 \right) \:dt + \left| \sigma_{2}\right| \, Y_{t} \, \left( 1 - X_{t} \right) \:dW_{2,t} \end{split} \end{cases} \end{equation*}\]

Further reading

  1. snssdekd() & dsdekd() & rsdekd()- Monte-Carlo Simulation and Analysis of Stochastic Differential Equations.
  2. bridgesdekd() & dsdekd() & rsdekd() - Constructs and Analysis of Bridges Stochastic Differential Equations.
  3. fptsdekd() & dfptsdekd() - Monte-Carlo Simulation and Kernel Density Estimation of First passage time.
  4. MCM.sde() & MEM.sde() - Parallel Monte-Carlo and Moment Equations for SDEs.
  5. TEX.sde() - Converting Sim.DiffProc Objects to LaTeX.
  6. fitsde() - Parametric Estimation of 1-D Stochastic Differential Equation.

References

  1. Xie Y (2015). Dynamic Documents with R and knitr. 2nd edition. Chapman and Hall/CRC, Boca Raton, Florida. ISBN 978-1498716963, URL https://yihui.name/knitr/.

  2. Wickham H (2015). Advanced R. Chapman & Hall/CRC The R Series. CRC Press. ISBN 9781498759809.

  3. Guidoum AC, Boukhetala K (2018). Performing Parallel Monte Carlo and Moment Equations Methods for Itô and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc. Preprint submitted to Journal of Statistical Software.

  4. Guidoum AC, Boukhetala K (2018). Sim.DiffProc: Simulation of Diffusion Processes. R package version 4.3, URL https://cran.r-project.org/package=Sim.DiffProc.


  1. Department of Probabilities & Statistics, Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail (acguidoum@usthb.dz)

  2. Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail (kboukhetala@usthb.dz)