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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess
umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotion
umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotionBridge
public class MultivariateBrownianMotionBridge
A multivariate Brownian motion process
{X(t) : t >= 0} sampled via
bridge sampling.
We use a Cholesky decomposition of the relevant covariance matrix to generate
the next c-dimensional vector at each step of the bridge sampling algorithm.
For this, we construct the same matrix
Σ as in
MultivariateBrownianMotion
and we compute its Cholesky decomposition
Σ = BBt.
| Constructor Summary | |
|---|---|
MultivariateBrownianMotionBridge(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
NormalGen gen)
Constructs a new MultivariateBrownianMotionBridge with parameters μ =mu, σ =sigma, correlation matrix Rz =corrZ, and initial value X(t0) =x0. |
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MultivariateBrownianMotionBridge(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
RandomStream stream)
Constructs a new MultivariateBrownianMotionBridge with parameters μ =mu, σ =sigma, correlation matrix Rz =corrZ, and initial value X(t0) =x0. |
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| Method Summary | |
|---|---|
double[] |
generatePath()
. |
double[] |
nextObservationVector()
Generates and returns the next observation X(tj) of the multivariate stochastic process in a vector created automatically. |
void |
nextObservationVector(double[] obs)
Generates and returns in obs the next observation X(tj) of the multivariate stochastic process. |
void |
resetStartProcess()
Resets the observation counter to its initial value j = 0, so that the current observation X(tj) becomes X(t0). |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotion |
|---|
generatePath, generatePath, getGen, getMu, getStream, nextObservationVector, nextObservationVector, setParams, setParams, setStream |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess |
|---|
getCurrentObservation, getDimension, getObservation, getObservation, getSubpath, getX0, setObservationTimes |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getX0, hasNextObservation, nextObservation, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public MultivariateBrownianMotionBridge(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
RandomStream stream)
RandomStream stream.
public MultivariateBrownianMotionBridge(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
NormalGen gen)
| Method Detail |
|---|
public double[] generatePath()
MultivariateStochasticProcess
generatePath in class MultivariateBrownianMotionpublic void resetStartProcess()
StochasticProcessnextObservation, for a new sample path.
resetStartProcess in class StochasticProcesspublic double[] nextObservationVector()
MultivariateBrownianMotion
nextObservationVector in class MultivariateBrownianMotionpublic void nextObservationVector(double[] obs)
MultivariateBrownianMotion
nextObservationVector in class MultivariateBrownianMotion
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SSJ V. labo. |
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