umontreal.iro.lecuyer.stochprocess

Class InverseGaussianProcessBridge

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.InverseGaussianProcess

umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessMSH

umontreal.iro.lecuyer.stochprocess.InverseGaussianProcessBridge

public class InverseGaussianProcessBridge
extends InverseGaussianProcessMSH

Samples the path by bridge sampling: first finding the process value at the final time and then the middle time, etc. The method nextObservation() returns the path value in that non-sequential order. This class uses two RandomStream's to generate a path.

Field Summary

Fields inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

path

Constructor Summary

Constructors

Constructor and Description
InverseGaussianProcessBridge(double s0, double delta, double gamma, RandomStream stream, RandomStream otherStream) Constructs a new InverseGaussianProcessBridge.

Method Summary

Methods

Modifier and Type	Method and Description
double[]	generatePath() Generates the path.
double[]	generatePath(double[] unifNorm, double[] unifOther) Instead of using the internal streams to generate the path, it uses two arrays of uniforms U[0, 1).
RandomStream	getStream() Only returns a stream if both inner streams are the same.
double	nextObservation() Returns the next observation in the bridge order, not the sequential order.
void	resetStartProcess() Resets the observation counter to its initial value j = 0, so that the current observation X(tj) becomes X(t0).
void	setStream(RandomStream stream) Sets both inner streams to the same stream.
void	setStream(RandomStream stream, RandomStream otherStream) Sets the streams.

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

generatePath, getNormalGen, getOtherStream, setNormalGen, setOtherStream

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

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, setObservationTimes, setObservationTimes, setX0

Methods inherited from class java.lang.Object

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

Constructor Detail

InverseGaussianProcessBridge

public InverseGaussianProcessBridge(double s0,
                            double delta,
                            double gamma,
                            RandomStream stream,
                            RandomStream otherStream)

Constructs a new InverseGaussianProcessBridge. The initial value s0 will be overridden by t[0] when the observation times are set.

Method Detail

generatePath

public double[] generatePath()

Generates the path. The two inner RandomStream's are sampled alternatively.

Overrides:

generatePath in class InverseGaussianProcessMSH

generatePath

public double[] generatePath(double[] unifNorm,
                    double[] unifOther)

Instead of using the internal streams to generate the path, it uses two arrays of uniforms U[0, 1). The length of the arrays unifNorm and unifOther should be equal to the number of time steps, excluding t₀.

Overrides:

generatePath in class InverseGaussianProcessMSH

nextObservation

public double nextObservation()

Returns the next observation in the bridge order, not the sequential order.

Overrides:

nextObservation in class InverseGaussianProcessMSH

resetStartProcess

public void resetStartProcess()

Description copied from class: StochasticProcess

Resets the observation counter to its initial value j = 0, so that the current observation X(t_j) becomes X(t₀). This method should be invoked before generating observations sequentially one by one via nextObservation, for a new sample path.

Overrides:

resetStartProcess in class StochasticProcess

getStream

public RandomStream getStream()

Only returns a stream if both inner streams are the same.

Overrides:

getStream in class InverseGaussianProcessMSH

setStream

public void setStream(RandomStream stream,
             RandomStream otherStream)

Sets the streams.

Overrides:

setStream in class InverseGaussianProcessMSH

setStream

public void setStream(RandomStream stream)

Sets both inner streams to the same stream.

Overrides:

setStream in class InverseGaussianProcessMSH