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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess
umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessMSH
umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessBridge
public class InverseGaussianProcessBridge
Samples the path by bridge sampling:
first finding the process value at
the final time and then the middle time, etc.
The method nextObservation() returns the path value
in that non-sequential order.
This class uses two
RandomStream's to generate
a path.
| Constructor Summary | |
|---|---|
InverseGaussianProcessBridge(double s0,
double delta,
double gamma,
RandomStream stream,
RandomStream otherStream)
Constructs a new InverseGaussianProcessBridge. |
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| Method Summary | |
|---|---|
double[] |
generatePath()
Generates the path. |
double[] |
generatePath(double[] unifNorm,
double[] unifOther)
Instead of using the internal streams to generate the path, it uses two arrays of uniforms U[0, 1). |
RandomStream |
getStream()
Only returns a stream if both inner streams are the same. |
double |
nextObservation()
Returns the next observation in the bridge order, not the sequential order. |
void |
resetStartProcess()
Resets the observation counter to its initial value j = 0, so that the current observation X(tj) becomes X(t0). |
void |
setStream(RandomStream stream)
Sets both inner streams to the same stream. |
void |
setStream(RandomStream stream,
RandomStream otherStream)
Sets the streams. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessMSH |
|---|
generatePath, getNormalGen, getOtherStream, setNormalGen, setOtherStream |
| 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, setObservationTimes, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public InverseGaussianProcessBridge(double s0,
double delta,
double gamma,
RandomStream stream,
RandomStream otherStream)
| Method Detail |
|---|
public double[] generatePath()
RandomStream's
are sampled alternatively.
generatePath in class InverseGaussianProcessMSH
public double[] generatePath(double[] unifNorm,
double[] unifOther)
generatePath in class InverseGaussianProcessMSHpublic double nextObservation()
nextObservation in class InverseGaussianProcessMSHpublic void resetStartProcess()
StochasticProcessnextObservation, for a new sample path.
resetStartProcess in class StochasticProcesspublic RandomStream getStream()
getStream in class InverseGaussianProcessMSH
public void setStream(RandomStream stream,
RandomStream otherStream)
setStream in class InverseGaussianProcessMSHpublic void setStream(RandomStream stream)
setStream in class InverseGaussianProcessMSH
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SSJ V. labo. |
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| PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD | ||||||||