[SciPy-User] [OT] Transform (i.e., Fourier, Laplace, etc.) methods in Prob. & Stats.
S. Chris Colbert
Thu Nov 26 16:45:49 CST 2009
i dont know if it will be of any use to you, but:
Laplace transforms and their inversions are also used extensively in control
I wrote some python for the numerical inversion awhile back (before i was any
good in python, be warned!)
There are two different inversion methods in the attached file: the method of
riemann sums is the faster of the two, and here is the reference from which I
made my implementation:
You can probably throw out the stehfest method. I was using it originally as
it was faster, but then I managed to vectorize the riemann method. I had no
luck vectorizing the stehfest method.
> Sounds good, thanks again!
> On Thu, Nov 26, 2009 at 12:34 PM, nicky van foreest
> > > Chung, K. L., 2000. "A Course In Probability Theory, 2nd Ed." Academic.
> > > looks like a really good general reference, Nicky - I assume this is
> > > the "Chung" to which you were referring? Thanks!!!
> > That is the one indeed.
> > For z transforms you might like generatingfunctionoly (or something
> > like this). Search on Herbert Wilf, On his website you can find a very
> > nice book on the uses of z transforms. The first chapter is very
> > accessible.
> > HOpe this helps.
> > NIcky
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