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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.GammaProcess
umontreal.iro.lecuyer.stochprocess.GammaProcessBridge
umontreal.iro.lecuyer.stochprocess.GammaProcessSymmetricalBridge
public class GammaProcessSymmetricalBridge
This class differs from GammaProcessBridge only in that it requires the number of interval of the path to be a power of 2 and of equal size. It is then possible to generate the bridge process using a special implementation of the beta random variate generator (using the symmetrical beta distribution) that is much faster (HOW MUCH? QUANTIFY!) than the general case. Note that when the method setObservationTimes is called, the equality of the size of the time steps is verified. To allow for differences due to floating point errors, time steps are considered to be equal if their relative difference is less than 10-15.
| Constructor Summary | |
|---|---|
GammaProcessSymmetricalBridge(double s0,
double mu,
double nu,
GammaGen Ggen,
BetaSymmetricalGen BSgen)
Constructs a new GammaProcessSymmetricalBridge with parameters μ = |
|
GammaProcessSymmetricalBridge(double s0,
double mu,
double nu,
RandomStream stream)
Constructs a new GammaProcessSymmetricalBridge with parameters μ = |
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| Method Summary | |
|---|---|
double[] |
generatePath()
. |
double[] |
generatePath(double[] uniform01)
. |
double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
double |
nextObservation(double nextT)
. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcessBridge |
|---|
resetStartProcess, setStream |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess |
|---|
getMu, getNu, getStream, setParams |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public GammaProcessSymmetricalBridge(double s0,
double mu,
double nu,
RandomStream stream)
RandomStream stream.
Note that the same RandomStream
stream is used for the
GammaGen and for the
BetaSymmetricalGen
inluded in this class.
public GammaProcessSymmetricalBridge(double s0,
double mu,
double nu,
GammaGen Ggen,
BetaSymmetricalGen BSgen)
RandomStream included in
the BetaSymmetricalGen
is sets to the one included in the
GammaGen to avoid confusion.
This RandomStream is then used to
generate all the random variables.
| Method Detail |
|---|
public double nextObservation()
StochasticProcess
nextObservation in class GammaProcessBridgepublic double nextObservation(double nextT)
GammaProcess
nextObservation in class GammaProcessBridgepublic double[] generatePath()
GammaProcess
generatePath in class GammaProcessBridgepublic double[] generatePath(double[] uniform01)
GammaProcess
generatePath in class GammaProcessBridge
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SSJ V. labo. |
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