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@jmbr
Created February 7, 2022 19:32
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Example of how to compute mean first passage times by brute force in parallel.
from joblib import Parallel, delayed
import numpy as np
n = 10000 # Number of experiments
dt: float = 1e-5 # Time step length
def integrate_until_exit(random_seed):
np.random.seed(random_seed)
t = 0.0
x = np.zeros(2)
while True:
if np.linalg.norm(x) >= 1.0:
break
x += np.sqrt(dt) * np.random.randn(2)
t += dt
return t
fpts = Parallel(n_jobs=-1, verbose=1)(
delayed(integrate_until_exit)(i) for i in range(n))
print('MFPT', np.mean(fpts), '+/-', np.std(fpts))
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