KSLCore/ksl.utilities.random.rvariable/AR1CorrelatedRNStream

AR1CorrelatedRNStream

class AR1CorrelatedRNStream @JvmOverloads constructor(val lag1Corr: Double, stream: RNStreamIfc = KSLRandom.nextRNStream()) : RNStreamIfc

Uses the autoregressive 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.

Constructors

@JvmOverloads

constructor(lag1Corr: Double, stream: RNStreamIfc = KSLRandom.nextRNStream())

Properties

advanceToNextSubStreamOption

open override var advanceToNextSubStreamOption: Boolean

If true, the stream will automatically participate in having its stream advanced to the next sub-stream via stream managers

antithetic

open override var antithetic: Boolean

Tells the stream to start producing antithetic variates

antitheticValue

open override val antitheticValue: Double

Returns the antithetic value of the previous value

open override val id: Int

An identifier assigned by the underlying stream factory to identity the stream for reporting purposes

lag1Corr

val lag1Corr: Double

previousU

open override val previousU: Double

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

resetStartStreamOption

open override var resetStartStreamOption: Boolean

If true, the stream will automatically participate in having its stream reset to its start stream via stream managers

streamProvider

open override val streamProvider: RNStreamProviderIfc?

Functions

advanceToNextSubStream

open override fun advanceToNextSubStream()

Positions the RNG at the beginning of its next substream

antitheticInstance

open override fun antitheticInstance(name: String?): RNStreamIfc

crnInstance

open override fun crnInstance(name: String?): RNStreamIfc

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

discreteInverseCDF

open override fun discreteInverseCDF(array: IntArray, cdf: DoubleArray): Int

Randomly selects from the array using the supplied cdf, NO checking of arrays

permute

open override fun <T> permute(x: Array<T>)

open override fun permute(x: BooleanArray)

Randomly permutes the supplied array using the stream. The array is changed.

open override fun permute(x: DoubleArray)

Randomly permutes the supplied array

open override fun permute(x: IntArray)

Randomly permutes the supplied array, the array is changed.

open override fun <T> permute(x: MutableList<T>)

Randomly permutes the supplied List using the stream. The list is changed.

randInt

open override fun randInt(range: IntRange): Int

A convenience function for allowing the range to be specified via a range

open override fun randInt(i: Int, j: Int): Int

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

randomlySelect

open override fun randomlySelect(array: DoubleArray): Double

open override fun randomlySelect(array: IntArray): Int

Randomly select an element from the array

open override fun randomlySelect(array: DoubleArray, cdf: DoubleArray): Double

open override fun randomlySelect(array: IntArray, cdf: DoubleArray): Int

Randomly selects from the array using the supplied cdf

randU01

open override fun randU01(): Double

Returns a pseudo-random uniformly distributed number

rBernoulli

open override fun rBernoulli(pSuccess: Double): Double

rBernoulliBoolean

open override fun rBernoulliBoolean(pSuccess: Double): Boolean

rBeta

open override fun rBeta(alpha: Double, beta: Double): Double

This beta is restricted to the range of (0,1)

rBetaG

open override fun rBetaG(alpha: Double, beta: Double, minimum: Double, maximum: Double): Double

This beta is restricted to the range of (minimum,maximum)

rBinomial

open override fun rBinomial(pSuccess: Double, nTrials: Int): Int

rChiSquared

open override fun rChiSquared(dof: Double): Double

rDUniform

open override fun rDUniform(range: IntRange): Int

open override fun rDUniform(minimum: Int, maximum: Int): Int

Generates a discrete uniform over the range

resetStartStream

open override fun resetStartStream()

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.

resetStartSubStream

open override fun resetStartSubStream()

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

rExponential

open override fun rExponential(mean: Double): Double

rGamma

open override fun rGamma(shape: Double, scale: Double, type: KSLRandom.AlgoType): Double

rGeometric

open override fun rGeometric(pSuccess: Double): Int

rJohnsonB

open override fun rJohnsonB(alpha1: Double, alpha2: Double, min: Double, max: Double): Double

rLaplace

open override fun rLaplace(location: Double, scale: Double): Double

Generates according to a Laplace(location, scale)

rLogistic

open override fun rLogistic(location: Double, scale: Double): Double

rLogLogistic

open override fun rLogLogistic(shape: Double, scale: Double): Double

rLogNormal

open override fun rLogNormal(mean: Double, variance: Double): Double

rNegBinomial

open override fun rNegBinomial(pSuccess: Double, rSuccesses: Double): Int

rNormal

open override fun rNormal(mean: Double, variance: Double): Double

rPearsonType5

open override fun rPearsonType5(shape: Double, scale: Double): Double

rPearsonType6

open override fun rPearsonType6(alpha1: Double, alpha2: Double, beta: Double): Double

Pearson Type 6

rPoisson

open override fun rPoisson(mean: Double): Int

rSign

open override fun rSign(pSuccess: Double): Double

Returns a randomly generated sign -1 or +1

rSignWithZero

open override fun rSignWithZero(): Double

Returns a randomly generated sign -1, 0, +1 all equally likely.

rTriangular

open override fun rTriangular(min: Double, mode: Double, max: Double): Double

rUniform

open override fun rUniform(minimum: Double, maximum: Double): Double

Generates a continuous uniform over the range

rWeibull

open override fun rWeibull(shape: Double, scale: Double): Double

sampleWithoutReplacement

open override fun <T> sampleWithoutReplacement(x: Array<T>, sampleSize: Int)

The array x is changed, such that the first sampleSize elements contain the generated sample. That is, x0, x1, ... , xsampleSize-1 is the randomly sampled values without replacement

open override fun sampleWithoutReplacement(x: BooleanArray, sampleSize: Int)

open override fun sampleWithoutReplacement(x: IntArray, sampleSize: Int)

The array x is changed, such that the first sampleSize elements contain the generated sample. That is, x0, x1, ... , xsampleSize-1 is the random sample without replacement

open override fun sampleWithoutReplacement(x: DoubleArray, sampleSize: Int)

The array x is changed, such that the first sampleSize elements contain the sample. That is, x0, x1, ... , xsampleSize-1 is the random sample without replacement

open override fun <T> sampleWithoutReplacement(x: MutableList<T>, sampleSize: Int)

The List x is changed, such that the first sampleSize elements contain the sampled values. That is, x.get(0), x.get(1), ... , x.get(sampleSize-1) is the random sample without replacement