org.jquantlib.math.randomnumbers

Class MersenneTwisterUniformRng

java.lang.Object

org.jquantlib.math.randomnumbers.MersenneTwisterUniformRng

All Implemented Interfaces:

RandomNumberGenerator

public class MersenneTwisterUniformRng
extends java.lang.Object
implements RandomNumberGenerator

This class implements a powerful pseudo-random number generator developed by Makoto Matsumoto and Takuji Nishimura during 1996-1997.

This generator features an extremely long period (2¹⁹⁹³⁷-1) and 623-dimensional equidistribution up to 32 bits accuracy. The home page for this generator is located at http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/emt.html.

This generator is described in a paper by Makoto Matsumoto and Takuji Nishimura in 1998: Mersenne Twister: A 623-Dimensionally Equidistributed Uniform Pseudo-Random Number Generator, ACM Transactions on Modeling and Computer Simulation, Vol. 8, No. 1, JANUARY 1998, pp 3--30

The class is implemented as a specialization of the standard java.util.Random class. This allows to use it in algorithms expecting a standard random generator, and hence benefit from a better generator without code change.

This class is mainly a Java port of the 2002-01-26 version of the generator written in C by Makoto Matsumoto and Takuji Nishimura. Here is their original copyright:

Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura, All rights reserved.

Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: Redistributions of source code must retain the above copyright notice, this list of conditions and the following disclaimer. Redistributions in binary form must reproduce the above copyright notice, this list of conditions and the following disclaimer in the documentation and/or other materials provided with the distribution. The names of its contributors may not be used to endorse or promote products derived from this software without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

Constructor Summary

Constructors

Constructor and Description
MersenneTwisterUniformRng() Creates a new random number generator.
MersenneTwisterUniformRng(int seed) Creates a new random number generator using a single int seed.
MersenneTwisterUniformRng(int[] seed) Creates a new random number generator using an int array seed.
MersenneTwisterUniformRng(long seed) Creates a new random number generator using a single long seed.

Method Summary

Modifier and Type	Method and Description
Sample<java.lang.Double>	next()
long	nextInt32() Once JVM does not support unsigned fixed arithmetic, we use 64bit variables as containers for 32bit values in order to reduce the complexity and performance overhead of certain fixed arithmetic operations.
void	setSeed(int seed) Reinitialize the generator as if just built with the given int seed.
void	setSeed(int[] seed) Reinitialize the generator as if just built with the given int array seed.
void	setSeed(long seed) Reinitialize the generator as if just built with the given long seed.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MersenneTwisterUniformRng

public MersenneTwisterUniformRng()

Creates a new random number generator.

The instance is initialized using the current time as the seed.

MersenneTwisterUniformRng

public MersenneTwisterUniformRng(int seed)

Creates a new random number generator using a single int seed.

Parameters:

seed - the initial seed (32 bits integer)

MersenneTwisterUniformRng

public MersenneTwisterUniformRng(int[] seed)

Creates a new random number generator using an int array seed.

Parameters:

seed - the initial seed (32 bits integers array), if null the seed of the generator will be related to the current time

MersenneTwisterUniformRng

public MersenneTwisterUniformRng(long seed)

Creates a new random number generator using a single long seed.

Parameters:

seed - the initial seed (64 bits integer)

Method Detail

setSeed

public void setSeed(int seed)

Reinitialize the generator as if just built with the given int seed.

The state of the generator is exactly the same as a new generator built with the same seed.

Parameters:

seed - the initial seed (32 bits integer)

setSeed

public void setSeed(int[] seed)

Reinitialize the generator as if just built with the given int array seed.

The state of the generator is exactly the same as a new generator built with the same seed.

Parameters:

seed - the initial seed (32 bits integers array), if null the seed of the generator will be related to the current time

setSeed

public void setSeed(long seed)

Reinitialize the generator as if just built with the given long seed.

The state of the generator is exactly the same as a new generator built with the same seed.

Parameters:

seed - the initial seed (64 bits integer)

nextInt32

public long nextInt32()

Description copied from interface: RandomNumberGenerator

Once JVM does not support unsigned fixed arithmetic, we use 64bit variables as containers for 32bit values in order to reduce the complexity and performance overhead of certain fixed arithmetic operations.

From the user's perspective, it's easier to understand that a certain long variable contains values from 0 to 2^32 than understand that a certain int variable contains negative values that should be converted to it's two's complement and extended to a long variable before use.

Specified by:

nextInt32 in interface RandomNumberGenerator

Returns:

an unsigned 32bit wide number encapsulated in a 64bit container

See Also:

Bug 4504839, Java and Unsigned Types, Two's complement

next

public Sample<java.lang.Double> next()

Specified by:

next in interface RandomNumberGenerator

Returns:

another random number