System and method for simulation of nonlinear dynamic systems applicable within soft computing

摘要

A system and method for efficient stochastic simulation of dynamic systems is described. Since analytic solutions cannot usually be found for stochastic differential equations, complete analysis requires numerical simulations. These simulations are most commonly done with first-order Euler-type algorithm. The efficiency of these algorithms is improved by removing algebraic loops in the simulation. An algebraic loop occurs when an output variable of the system of equations is also in an input variable to one or more of the equations describing the system. In one embodiment, the algebraic loops are removed by formulating a simulation wherein an output variable that gives rise to an algebraic loop is integrated to produce an integrated output. The integrated output is later provided to a differentiator to reconstruct the output variable as needed.