Package jsl.utilities.random.rng

Class AR1CorrelatedRNStream

java.lang.Object

jsl.utilities.random.rng.AR1CorrelatedRNStream

All Implemented Interfaces:

java.util.function.DoubleSupplier, GetAntitheticStreamIfc, GetAntitheticValueIfc, GetRandomNumberStreamIfc, RandU01Ifc, RNStreamControlIfc, RNStreamIfc, RNStreamNewInstanceIfc, SetRandomNumberStreamIfc

public class AR1CorrelatedRNStream
extends java.lang.Object
implements RNStreamIfc, SetRandomNumberStreamIfc, GetRandomNumberStreamIfc

Uses the auto-regressive to anything algorithm to generate correlated uniform variates. The user supplies the correlation of the underlying AR(1) process. The resulting correlation in the u's may not necessarily meet this correlation, due to the correlation matching problem.

Constructor Summary

Constructors

Constructor	Description
AR1CorrelatedRNStream()
AR1CorrelatedRNStream(double correlation)
AR1CorrelatedRNStream(double correlation, RNStreamIfc rng)

Method Summary

Modifier and Type	Method	Description
void	advanceToNextSubstream()	Positions the RNG at the beginning of its next substream
boolean	getAntitheticOption()
double	getAntitheticValue()	Returns the antithetic value of the previous value
double	getLag1Correlation()
double	getPrevU01()	The previous U(0,1) generated (returned) by randU01()
RNStreamIfc	getRandomNumberStream()
RNStreamIfc	newAntitheticInstance()
RNStreamIfc	newAntitheticInstance(java.lang.String name)
RNStreamIfc	newInstance()	Returns a copy of the stream with exactly the same state
RNStreamIfc	newInstance(java.lang.String name)	Returns a copy of the stream that has exactly the same state
int	randInt(int i, int j)	Returns a (pseudo)random number from the discrete uniform distribution over the integers {i, i + 1, .
double	randU01()	Returns a pseudo-random uniformly distributed number
void	resetStartStream()	The resetStartStream method will position the RNG at the beginning of its stream.
void	resetStartSubstream()	Resets the position of the RNG at the start of the current substream
void	setAntitheticOption(boolean flag)	Tells the stream to start producing antithetic variates
void	setLag1Correlation(double correlation)
void	setRandomNumberStream(RNStreamIfc stream)	Sets the underlying random number stream

Methods inherited from class java.lang.Object

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

Methods inherited from interface jsl.utilities.random.rng.GetRandomNumberStreamIfc

getStreamNumber

Methods inherited from interface jsl.utilities.random.rng.RandU01Ifc

asDoubleStream, getAsDouble

Methods inherited from interface jsl.utilities.random.rng.SetRandomNumberStreamIfc

setRandomNumberStream

Constructor Detail

AR1CorrelatedRNStream

public AR1CorrelatedRNStream()

AR1CorrelatedRNStream

public AR1CorrelatedRNStream(double correlation)

Parameters:

correlation - the correlation, must be within [-1,1]

AR1CorrelatedRNStream

public AR1CorrelatedRNStream(double correlation,
                             RNStreamIfc rng)

Parameters:

correlation - the correlation, must be within [-1,1]

rng - the underlying source of randomness

Method Detail

randU01

public double randU01()

Description copied from interface: RandU01Ifc

Returns a pseudo-random uniformly distributed number

Specified by:

randU01 in interface RandU01Ifc

Returns:

the random number

getRandomNumberStream

public final RNStreamIfc getRandomNumberStream()

Specified by:

getRandomNumberStream in interface GetRandomNumberStreamIfc

Returns:

the random number stream reference

setRandomNumberStream

public void setRandomNumberStream(RNStreamIfc stream)

Description copied from interface: SetRandomNumberStreamIfc

Sets the underlying random number stream

Specified by:

setRandomNumberStream in interface SetRandomNumberStreamIfc

Parameters:

stream - the reference to the random number stream, must not be null

randInt

public final int randInt(int i,
                         int j)

Description copied from interface: RNStreamIfc

Returns a (pseudo)random number from the discrete uniform distribution over the integers {i, i + 1, . . . , j }, using this stream. Calls randU01 once.

Specified by:

randInt in interface RNStreamIfc

Parameters:

i - start of range

j - end of range

Returns:

The integer pseudo random number

advanceToNextSubstream

public final void advanceToNextSubstream()

Description copied from interface: RNStreamControlIfc

Positions the RNG at the beginning of its next substream

Specified by:

advanceToNextSubstream in interface RNStreamControlIfc

resetStartStream

public final void resetStartStream()

Description copied from interface: RNStreamControlIfc

The resetStartStream method will position the RNG at the beginning of its stream. This is the same location in the stream as assigned when the RNG was created and initialized.

Specified by:

resetStartStream in interface RNStreamControlIfc

resetStartSubstream

public final void resetStartSubstream()

Description copied from interface: RNStreamControlIfc

Resets the position of the RNG at the start of the current substream

Specified by:

resetStartSubstream in interface RNStreamControlIfc

setAntitheticOption

public final void setAntitheticOption(boolean flag)

Description copied from interface: RNStreamControlIfc

Tells the stream to start producing antithetic variates

Specified by:

setAntitheticOption in interface RNStreamControlIfc

Parameters:

flag - true means that it produces antithetic variates.

getAntitheticOption

public boolean getAntitheticOption()

Specified by:

getAntitheticOption in interface RNStreamControlIfc

Returns:

true means on

getLag1Correlation

public final double getLag1Correlation()

Returns:

the lag 1 correlation

setLag1Correlation

public final void setLag1Correlation(double correlation)

Parameters:

correlation - the correlation, must be within [-1,1]

getPrevU01

public final double getPrevU01()

Description copied from interface: RandU01Ifc

The previous U(0,1) generated (returned) by randU01()

Specified by:

getPrevU01 in interface RandU01Ifc

Returns:

previous U(0,1) generated (returned) by randU01()

getAntitheticValue

public final double getAntitheticValue()

Description copied from interface: GetAntitheticValueIfc

Returns the antithetic value of the previous value

Specified by:

getAntitheticValue in interface GetAntitheticValueIfc

Returns:

the antithetic value of the previous value

newInstance

public RNStreamIfc newInstance()

Description copied from interface: RNStreamNewInstanceIfc

Returns a copy of the stream with exactly the same state

Specified by:

newInstance in interface RNStreamNewInstanceIfc

Returns:

Returns a copy of the stream with exactly the same state

newInstance

public RNStreamIfc newInstance(java.lang.String name)

Description copied from interface: RNStreamNewInstanceIfc

Returns a copy of the stream that has exactly the same state

Specified by:

newInstance in interface RNStreamNewInstanceIfc

Parameters:

name - the name of the new instance

Returns:

Returns a copy of the stream with exactly the same state

newAntitheticInstance

public RNStreamIfc newAntitheticInstance(java.lang.String name)

Specified by:

newAntitheticInstance in interface GetAntitheticStreamIfc

Parameters:

name - the name of the antithetic instance

Returns:

a copy of the stream that produces antithetic value

newAntitheticInstance

public RNStreamIfc newAntitheticInstance()

Specified by:

newAntitheticInstance in interface GetAntitheticStreamIfc

Returns:

a copy of the stream that produces antithetic value