|
SSJ V. 2.6. |
||||||||
PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |
java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessMSH
public class InverseGaussianProcessMSH
Uses a faster generating method (MSH)
than the simple inversion of the distribution function
used by InverseGaussianProcess
.
It is about 60 times faster.
However it requires two
RandomStream
's instead
of only one for InverseGaussianProcess
.
The second stream is called otherStream below and
it is used to randomly choose between two roots at each time step.
Constructor Summary | |
---|---|
InverseGaussianProcessMSH(double s0,
double delta,
double gamma,
RandomStream stream,
RandomStream otherStream)
Constructs a new InverseGaussianProcessMSH. |
Method Summary | |
---|---|
double[] |
generatePath()
Generates the path. |
double[] |
generatePath(double[] uniforms01)
Not implemented, requires two RandomStream 's. |
double[] |
generatePath(double[] unifNorm,
double[] unifOther)
Instead of using the internal streams to generate the path, uses two arrays of uniforms U[0, 1). |
NormalGen |
getNormalGen()
Returns the normal generator. |
RandomStream |
getOtherStream()
Returns the otherStream, which is the stream used to choose between the two quadratic roots from the MSH method. |
RandomStream |
getStream()
Only returns a stream if both inner RandomStream 's are the same. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
void |
setNormalGen(NormalGen normalGen)
Sets the normal generator. |
void |
setOtherStream(RandomStream otherStream)
Sets the otherStream, which is the stream used to choose between the two roots in the MSH method. |
void |
setStream(RandomStream stream)
Sets both inner streams to stream. |
void |
setStream(RandomStream stream,
RandomStream otherStream)
Sets the streams. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess |
---|
getAnalyticAverage, getAnalyticVariance, getDelta, getGamma, getNumberOfRandomStreams, setParams |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
---|
public InverseGaussianProcessMSH(double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream)
Method Detail |
---|
public double[] generatePath()
RandomStream
s are
sampled alternatively.
generatePath
in class InverseGaussianProcess
public double[] generatePath(double[] unifNorm, double[] unifOther)
NormalInverseGaussianProcess
.
generatePath
in class InverseGaussianProcess
public double[] generatePath(double[] uniforms01)
RandomStream
's.
generatePath
in class InverseGaussianProcess
public double nextObservation()
StochasticProcess
nextObservation
in class InverseGaussianProcess
public RandomStream getStream()
RandomStream
's are the same.
getStream
in class InverseGaussianProcess
public void setStream(RandomStream stream, RandomStream otherStream)
public void setStream(RandomStream stream)
setStream
in class InverseGaussianProcess
public void setOtherStream(RandomStream otherStream)
public RandomStream getOtherStream()
public void setNormalGen(NormalGen normalGen)
public NormalGen getNormalGen()
|
SSJ V. 2.6. |
||||||||
PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |