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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess
umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessPCA
public class InverseGaussianProcessPCA
Approximates a principal component analysis (PCA)
decomposition of the InverseGaussianProcess.
The PCA decomposition of a BrownianMotionPCA
with a covariance matrix identical to the one
of our InverseGaussianProcess is used to
generate the path of our InverseGaussianProcess. Such a path is a perfectly random path
and it is hoped that it will provide reduction
in the simulation variance when using quasi-Monte Carlo.
The method nextObservation() cannot be used with PCA decompositions since the whole path must be generated at once.
| Constructor Summary | |
|---|---|
InverseGaussianProcessPCA(double s0,
double delta,
double gamma,
RandomStream stream)
Constructs a new InverseGaussianProcessPCA. |
|
| Method Summary | |
|---|---|
double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] uniforms01)
Instead of using the internal stream to generate the path, uses an array of uniforms U[0, 1). |
BrownianMotion |
getBrownianMotionPCA()
Returns the BrownianMotionPCA. |
RandomStream |
getStream()
Returns the random stream of the underlying generator. |
double |
nextObservation()
Not implementable for PCA. |
void |
setBrownianMotionPCA(BrownianMotionPCA bmPCA)
Sets the brownian motion PCA. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times of both the InverseGaussianProcessPCA
and the inner
BrownianMotionPCA. |
void |
setStream(RandomStream stream)
Resets the random stream of the underlying generator to stream. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess |
|---|
generatePath, 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, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public InverseGaussianProcessPCA(double s0,
double delta,
double gamma,
RandomStream stream)
| Method Detail |
|---|
public double[] generatePath()
StochasticProcess
generatePath in class InverseGaussianProcesspublic double[] generatePath(double[] uniforms01)
NormalInverseGaussianProcess.
generatePath in class InverseGaussianProcesspublic double nextObservation()
nextObservation in class InverseGaussianProcess
public void setObservationTimes(double[] t,
int d)
InverseGaussianProcessPCA
and the inner
BrownianMotionPCA.
setObservationTimes in class StochasticProcesspublic RandomStream getStream()
StochasticProcess
getStream in class InverseGaussianProcesspublic void setStream(RandomStream stream)
StochasticProcess
setStream in class InverseGaussianProcesspublic void setBrownianMotionPCA(BrownianMotionPCA bmPCA)
InverseGaussianProcessPCA.
public BrownianMotion getBrownianMotionPCA()
BrownianMotionPCA.
|
SSJ V. labo. |
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| PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD | ||||||||