SPIKES: Sparse graPh multIvaried HawKes point procEss Simulation

A library implementing various algorithms for the simulation of marked/multivariated Hawkes Point Processes with piecewise constant intensity functions / interactions.
The classical algorithm, several versions of it and a new so called distributed algorithm are implemented here.
The classical method uses the system's total intensity function (made up of an overview of all the intensity functions of the inner processes, as a cumulated sum of the later), but is both memory and computationally not efficient.
The new "distributed" algorithm is much efficient in all of these aspects. Mixed with a new reconstruction method, it allows the simulation of very large scale networks.