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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.MultivariateBrownianMotionPCA
public class MultivariateBrownianMotionPCA
. MultivariateBrownianMotionPCA
A multivariate Brownian motion process
{
(t) : t≥0} sampled
entirely using the principal component decomposition (PCA), as
explained in[#!fGLA04a!#], page 92. We construct the same matrix
as in MultivariateBrownianMotion
and decompose it as
[tex2html_wrap_inline126] = BB
via PCA.
We also compute the matrix
whose element (i, j) is
[B(ti+1), B(tj+1)] =
(ti+1, tj+1) and its PCA decomposition
[tex2html_wrap_inline135] = 
, as in class BrownianMotionPCA.
| Constructor Summary | |
|---|---|
MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
NormalGen gen)
. |
|
MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
RandomStream stream)
. |
|
| Method Summary | |
|---|---|
double[] |
generatePath()
. |
double[] |
generatePath(double[] uniform01)
Same as generatePath() but requires a vector of uniform random numbers which are used to generate the path. |
void |
setParams(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ)
Sets the dimension c = |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.MultivariateBrownianMotion |
|---|
generatePath, getGen, getMu, getStream, nextObservationVector, nextObservationVector, nextObservationVector, nextObservationVector, 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, resetStartProcess, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
RandomStream stream)
public MultivariateBrownianMotionPCA(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ,
NormalGen gen)
| Method Detail |
|---|
public void setParams(int c,
double[] x0,
double[] mu,
double[] sigma,
double[][] corrZ)
MultivariateBrownianMotion
setParams in class MultivariateBrownianMotionpublic double[] generatePath()
generatePath in class MultivariateBrownianMotionpublic double[] generatePath(double[] uniform01)
MultivariateBrownianMotion
generatePath in class MultivariateBrownianMotion
|
SSJ V. labo. |
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