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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.BrownianMotion
umontreal.iro.lecuyer.stochprocess.BrownianMotionPCA
public class BrownianMotionPCA
BrownianMotionPCA
A Brownian motion process {X(t) : t≥0} sampled using the principal component decomposition (PCA)[#!fGLA04a!#,#!fIMA06a!#,#!fLEC04a!#].
| Constructor Summary | |
|---|---|
BrownianMotionPCA(double x0,
double mu,
double sigma,
NormalGen gen)
. |
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BrownianMotionPCA(double x0,
double mu,
double sigma,
RandomStream stream)
. |
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| Method Summary | |
|---|---|
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()
. |
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 |
|---|
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 |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public BrownianMotionPCA(double x0,
double mu,
double sigma,
RandomStream stream)
public BrownianMotionPCA(double x0,
double mu,
double sigma,
NormalGen gen)
| Method Detail |
|---|
public double nextObservation()
StochasticProcess
nextObservation in class BrownianMotion
public void setParams(double x0,
double mu,
double sigma)
BrownianMotion
setParams in class BrownianMotionpublic double[] generatePath()
StochasticProcess
generatePath in class BrownianMotionpublic double[] generatePath(double[] uniform01)
BrownianMotion
generatePath in class BrownianMotionpublic double[][] decompPCA(double[][] sigma)
public double[] getSortedEigenvalues()
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SSJ V. labo. |
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