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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.BrownianMotion umontreal.iro.lecuyer.stochprocess.BrownianMotionPCA
public class BrownianMotionPCA
A Brownian motion process {X(t) : t >= 0} sampled using the principal component decomposition (PCA).
Constructor Summary | |
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BrownianMotionPCA(double x0,
double mu,
double sigma,
NormalGen gen)
Constructs a new BrownianMotionBridge with parameters μ = |
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BrownianMotionPCA(double x0,
double mu,
double sigma,
RandomStream stream)
Constructs a new BrownianMotionBridge with parameters μ = |
Method Summary | |
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double[][] |
decompPCA(double[][] sigma)
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double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] uniform01)
Same as generatePath(), but a vector of uniform random numbers must be provided to the method. |
double[] |
getSortedEigenvalues()
Returns the sorted eigenvalues obtained in the PCA decomposition. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
void |
setParams(double x0,
double mu,
double sigma)
Resets the parameters X(t0) = |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.BrownianMotion |
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generatePath, getGen, getMu, getSigma, getStream, nextObservation, nextObservation, setStream |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public BrownianMotionPCA(double x0, double mu, double sigma, RandomStream stream)
public BrownianMotionPCA(double x0, double mu, double sigma, NormalGen gen)
Method Detail |
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public double nextObservation()
StochasticProcess
nextObservation
in class BrownianMotion
public void setParams(double x0, double mu, double sigma)
BrownianMotion
setParams
in class BrownianMotion
public double[] generatePath()
StochasticProcess
generatePath
in class BrownianMotion
public double[] generatePath(double[] uniform01)
BrownianMotion
generatePath
in class BrownianMotion
public double[][] decompPCA(double[][] sigma)
public double[] getSortedEigenvalues()
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