umontreal.iro.lecuyer.stochprocess

Class GammaProcessPCASymmetricalBridge

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.GammaProcess

umontreal.iro.lecuyer.stochprocess.GammaProcessPCA

umontreal.iro.lecuyer.stochprocess.GammaProcessPCABridge

umontreal.iro.lecuyer.stochprocess.GammaProcessPCASymmetricalBridge

public class GammaProcessPCASymmetricalBridge
extends GammaProcessPCABridge

Same as GammaProcessPCABridge, but uses the fast inversion method for the symmetrical beta distribution, proposed by L'Ecuyer and Simard, to accelerate the generation of the beta random variables. This class works only in the case where the number of intervals is a power of 2 and all these intervals are of equal size.

Constructor Summary

Constructors

Constructor and Description
GammaProcessPCASymmetricalBridge(double s0, double mu, double nu, RandomStream stream) Constructs a new GammaProcessPCASymmetricalBridge with parameters μ = mu, ν = nu and initial value S(t0) = s0.

Method Summary

Modifier and Type	Method and Description
double[]	generatePath() Generates, returns and saves the path {X(t0), X(t1),…, X(td)}.
double[]	generatePath(double[] uniform01) Generates, returns and saves the path {X(t0), X(t1),…, X(td)}.

Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcessPCABridge

getBMPCA, setObservationTimes, setParams

Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcessPCA

nextObservation, nextObservation, setStream

Methods inherited from class umontreal.iro.lecuyer.stochprocess.GammaProcess

getMu, getNu, getStream

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

GammaProcessPCASymmetricalBridge

public GammaProcessPCASymmetricalBridge(double s0,
                                        double mu,
                                        double nu,
                                        RandomStream stream)

Constructs a new GammaProcessPCASymmetricalBridge with parameters μ = mu, ν = nu and initial value S(t₀) = s0. The RandomStream stream is used in the GammaGen and in the BetaSymmetricalGen. These two generators use inversion to generate random numbers. The first uniform random number generated by stream is used for the gamma, and the other d - 1 for the beta's.

Method Detail

generatePath

public double[] generatePath(double[] uniform01)

Description copied from class: GammaProcess

Generates, returns and saves the path {X(t₀), X(t₁),…, X(t_d)}. This method does not use the RandomStream stream nor the GammaGen Ggen. It uses the vector of uniform random numbers U(0, 1) provided by the user and generates the path by inversion. The vector uniform01 must be of dimension d.

Overrides:

generatePath in class GammaProcessPCABridge

generatePath

public double[] generatePath()

Description copied from class: GammaProcess

Generates, returns and saves the path {X(t₀), X(t₁),…, X(t_d)}. The gamma variates X in are generated using the RandomStream stream or the RandomStream included in the GammaGen Ggen.

Overrides:

generatePath in class GammaProcessPCABridge