Module net.finmath.lib
Package net.finmath.montecarlo.automaticdifferentiation.forward

Class RandomVariableDifferentiableAD

java.lang.Object
net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
All Implemented Interfaces:
Serializable, RandomVariableDifferentiable, RandomVariable
public class RandomVariableDifferentiableAD extends Object implements RandomVariableDifferentiable
Implementation of RandomVariableDifferentiable using the forward algorithmic differentiation (AD). This class implements the optimized stochastic AD as it is described in ssrn.com/abstract=2995695. For details see http://christianfries.com/finmath/stochasticautodiff/.
Version:
1.1
Author:
Christian Fries, Stefan Sedlmair
See Also:
Serialized Form

  • Constructor Details

    • RandomVariableDifferentiableAD

      public RandomVariableDifferentiableAD​(double value)

    • RandomVariableDifferentiableAD

      public RandomVariableDifferentiableAD​(double time, double[] realisations)

    • RandomVariableDifferentiableAD

      public RandomVariableDifferentiableAD​(RandomVariable randomVariable)

    • RandomVariableDifferentiableAD

      public RandomVariableDifferentiableAD​(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator)

    • RandomVariableDifferentiableAD

      public RandomVariableDifferentiableAD​(RandomVariable values, List<RandomVariable> arguments, ConditionalExpectationEstimator estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator, int methodArgumentTypePriority)

  • Method Details

    • of

      public static RandomVariableDifferentiableAD of​(double value)

    • of

      public static RandomVariableDifferentiableAD of​(RandomVariable randomVariable)

    • getOperatorTreeNode

      public net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorTreeNode getOperatorTreeNode()

    • getValues

      public RandomVariable getValues()
      Returns the underlying values.
      Specified by:
      getValues in interface RandomVariable
      Returns:
      The underling values.

    • getID

      public Long getID()
      Description copied from interface: RandomVariableDifferentiable
      A unique id for this random variable. Will be used in getGradient.
      Specified by:
      getID in interface RandomVariableDifferentiable
      Returns:
      The id for this random variable.

    • getGradient

      public Map<Long,​RandomVariable> getGradient​(Set<Long> independentIDs)
      Returns the gradient of this random variable with respect to all its leaf nodes. The method calculated the map \( v \mapsto \frac{d u}{d v} \) where \( u \) denotes this. Performs a backward automatic differentiation.
      Specified by:
      getGradient in interface RandomVariableDifferentiable
      Parameters:
      independentIDs - Set of IDs of random variables \( v \) with respect to which the gradients \( \frac{d u}{d v} \) will be calculated. If null, derivatives w.r.t. all known independents are returned.
      Returns:
      The gradient map.

    • getTangents

      public Map<Long,​RandomVariable> getTangents​(Set<Long> dependentIDs)
      Description copied from interface: RandomVariableDifferentiable
      Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent). The method calculated the map \( u \mapsto \frac{d u}{d v} \) where \( v \) denotes this.
      Specified by:
      getTangents in interface RandomVariableDifferentiable
      Parameters:
      dependentIDs - Set of IDs of random variables \( u \) with respect to which the differentials \( \frac{d u}{d v} \) will be calculated. If null, derivatives w.r.t. all known dependents are returned.
      Returns:
      The map of differentials.

    • equals

      public boolean equals​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Compare this random variable with a given one
      Specified by:
      equals in interface RandomVariable
      Parameters:
      randomVariable - Random variable to compare with.
      Returns:
      True if this random variable and the given one are equal, otherwise false

    • getFiltrationTime

      public double getFiltrationTime()
      Description copied from interface: RandomVariable
      Returns the filtration time.
      Specified by:
      getFiltrationTime in interface RandomVariable
      Returns:
      The filtration time.

    • getTypePriority

      public int getTypePriority()
      Description copied from interface: RandomVariable
      Returns the type priority.
      Specified by:
      getTypePriority in interface RandomVariable
      Returns:
      The type priority.
      See Also:
      ssrn abstract 3246127

    • get

      public double get​(int pathOrState)
      Description copied from interface: RandomVariable
      Evaluate at a given path or state.
      Specified by:
      get in interface RandomVariable
      Parameters:
      pathOrState - Index of the path or state.
      Returns:
      Value of this random variable at the given path or state.

    • size

      public int size()
      Description copied from interface: RandomVariable
      Returns the number of paths or states.
      Specified by:
      size in interface RandomVariable
      Returns:
      Number of paths or states.

    • isDeterministic

      public boolean isDeterministic()
      Description copied from interface: RandomVariable
      Check if this random variable is deterministic in the sense that it is represented by a single double value. Note that the methods returns false, if the random variable is represented by a vector where each element has the same value.
      Specified by:
      isDeterministic in interface RandomVariable
      Returns:
      True if this random variable is deterministic.

    • getRealizations

      public double[] getRealizations()
      Description copied from interface: RandomVariable
      Returns a vector representing the realization of this random variable. This method is merely useful for analysis. Its interpretation depends on the context (Monte-Carlo or lattice). The method does not expose an internal data model.
      Specified by:
      getRealizations in interface RandomVariable
      Returns:
      Vector of realizations of this random variable.

    • doubleValue

      public Double doubleValue()
      Description copied from interface: RandomVariable
      Returns the double value if isDeterministic() is true. otherwise throws an UnsupportedOperationException.
      Specified by:
      doubleValue in interface RandomVariable
      Returns:
      The double value if isDeterministic() is true, otherwise throws an an UnsupportedOperationException.

    • getMin

      public double getMin()
      Description copied from interface: RandomVariable
      Returns the minimum value attained by this random variable.
      Specified by:
      getMin in interface RandomVariable
      Returns:
      The minimum value.

    • getMax

      public double getMax()
      Description copied from interface: RandomVariable
      Returns the maximum value attained by this random variable.
      Specified by:
      getMax in interface RandomVariable
      Returns:
      The maximum value.

    • getAverage

      public double getAverage()
      Description copied from interface: RandomVariable
      Returns the expectation of this random variable. The result of this method has to agrees with average().doubleValue().
      Specified by:
      getAverage in interface RandomVariable
      Returns:
      The average assuming equi-distribution.

    • getAverage

      public double getAverage​(RandomVariable probabilities)
      Description copied from interface: RandomVariable
      Returns the expectation of this random variable for a given probability measure (weight). The result of this method is (mathematically) equivalent to
      this.mult(probabilities).getAverage() / probabilities.getAverage()
      while the internal implementation may differ, e.g. being more efficient by performing multiplication and summation in the same loop.
      Specified by:
      getAverage in interface RandomVariable
      Parameters:
      probabilities - The probability weights.
      Returns:
      The average assuming the given probability weights.

    • getVariance

      public double getVariance()
      Description copied from interface: RandomVariable
      Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
      Specified by:
      getVariance in interface RandomVariable
      Returns:
      The average assuming equi-distribution.

    • getVariance

      public double getVariance​(RandomVariable probabilities)
      Description copied from interface: RandomVariable
      Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
      Specified by:
      getVariance in interface RandomVariable
      Parameters:
      probabilities - The probability weights.
      Returns:
      The average assuming the given probability weights.

    • getSampleVariance

      public double getSampleVariance()
      Description copied from interface: RandomVariable
      Returns the sample variance of this random variable, i.e., V * size()/(size()-1) where V = getVariance().
      Specified by:
      getSampleVariance in interface RandomVariable
      Returns:
      The sample variance.

    • getStandardDeviation

      public double getStandardDeviation()
      Description copied from interface: RandomVariable
      Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
      Specified by:
      getStandardDeviation in interface RandomVariable
      Returns:
      The standard deviation assuming equi-distribution.

    • getStandardDeviation

      public double getStandardDeviation​(RandomVariable probabilities)
      Description copied from interface: RandomVariable
      Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
      Specified by:
      getStandardDeviation in interface RandomVariable
      Parameters:
      probabilities - The probability weights.
      Returns:
      The standard error assuming the given probability weights.

    • getStandardError

      public double getStandardError()
      Description copied from interface: RandomVariable
      Returns the standard error (discretization error) of this random variable. For a Monte-Carlo simulation this is 1/Math.sqrt(n) * RandomVariable.getStandardDeviation().
      Specified by:
      getStandardError in interface RandomVariable
      Returns:
      The standard error assuming equi-distribution.

    • getStandardError

      public double getStandardError​(RandomVariable probabilities)
      Description copied from interface: RandomVariable
      Returns the standard error (discretization error) of this random variable. For a Monte-Carlo simulation this is 1/Math.sqrt(n) * RandomVariable.getStandardDeviation(RandomVariable).
      Specified by:
      getStandardError in interface RandomVariable
      Parameters:
      probabilities - The probability weights.
      Returns:
      The standard error assuming the given probability weights.

    • getQuantile

      public double getQuantile​(double quantile)
      Description copied from interface: RandomVariable
      Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure. The method will consider picewise constant values (with constant extrapolation) in the random variable. That is getQuantile(0) wiil return the smallest value and getQuantile(1) will return the largest value.
      Specified by:
      getQuantile in interface RandomVariable
      Parameters:
      quantile - The quantile level.
      Returns:
      The quantile value assuming equi-distribution.

    • getQuantile

      public double getQuantile​(double quantile, RandomVariable probabilities)
      Description copied from interface: RandomVariable
      Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
      Specified by:
      getQuantile in interface RandomVariable
      Parameters:
      quantile - The quantile level.
      probabilities - The probability weights.
      Returns:
      The quantile value assuming the given probability weights.

    • getQuantileExpectation

      public double getQuantileExpectation​(double quantileStart, double quantileEnd)
      Description copied from interface: RandomVariable
      Returns the expectation over a quantile for this given random variable. The method will consider picewise constant values (with constant extrapolation) in the random variable. For a ≤ b the method returns (Σa ≤ i ≤ b x[i]) / (b-a+1), where
      • a = min(max((n+1) * quantileStart - 1, 0, 1);
      • b = min(max((n+1) * quantileEnd - 1, 0, 1);
      • n = this.size();
      For quantileStart > quantileEnd the method returns getQuantileExpectation(quantileEnd, quantileStart).
      Specified by:
      getQuantileExpectation in interface RandomVariable
      Parameters:
      quantileStart - Lower bound of the integral.
      quantileEnd - Upper bound of the integral.
      Returns:
      The (conditional) expectation of the values between two quantile levels assuming equi-distribution.

    • getHistogram

      public double[] getHistogram​(double[] intervalPoints)
      Description copied from interface: RandomVariable
      Generates a Histogram based on the realizations stored in this random variable. The returned result array's length is intervalPoints.length+1.
      • The value result[0] equals the relative frequency of values observed in the interval ( -infinity, intervalPoints[0] ].
      • The value result[i] equals the relative frequency of values observed in the interval ( intervalPoints[i-1], intervalPoints[i] ].
      • The value result[n] equals the relative frequency of values observed in the interval ( intervalPoints[n-1], infinity ).
      where n = intervalPoints.length. Note that the intervals are open on the left, closed on the right, i.e., result[i] contains the number of elements x with intervalPoints[i-1] < x ≤ intervalPoints[i]. Thus, is you have a random variable which only takes values contained in the (sorted) array possibleValues, then result = getHistogram(possibleValues) returns an array where result[i] is the relative frequency of occurrence of possibleValues[i]. The sum of result[i] over all i is equal to 1, except for uninitialized random variables where all values are 0.
      Specified by:
      getHistogram in interface RandomVariable
      Parameters:
      intervalPoints - Array of ascending values defining the interval boundaries.
      Returns:
      A histogram with respect to a provided interval.

    • getHistogram

      public double[][] getHistogram​(int numberOfPoints, double standardDeviations)
      Description copied from interface: RandomVariable
      Generates a histogram based on the realizations stored in this random variable using interval points calculated from the arguments, see also RandomVariable.getHistogram(double[]). The interval points are set with equal distance over an the interval of the specified standard deviation. The interval points used are x[i] = mean + alpha[i] * standardDeviations * sigma where The methods result is an array of two vectors, where result[0] are the intervals center points ('anchor points') and result[1] contains the relative frequency for the interval. The 'anchor point' for the interval (-infinity, x[0]) is x[0] - 1/2 (x[1]-x[0]) and the 'anchor point' for the interval (x[n], infinity) is x[n] + 1/2 (x[n]-x[n-1]). Here n = numberOfPoints is the number of interval points.
      Specified by:
      getHistogram in interface RandomVariable
      Parameters:
      numberOfPoints - The number of interval points.
      standardDeviations - The number of standard deviations defining the discretization radius.
      Returns:
      A histogram, given as double[2][], where result[0] are the center point of the intervals and result[1] is the value of RandomVariable.getHistogram(double[]) for the given the interval points. The length of result[0] and result[1] is numberOfPoints+1.

    • cache

      public RandomVariable cache()
      Description copied from interface: RandomVariable
      Return a cacheable version of this object (often a self-reference). This method should be called when you store the object for later use, i.e., assign it, or when the object is consumed in a function, but later used also in another function.
      Specified by:
      cache in interface RandomVariable
      Returns:
      A cacheable version of this object (often a self-reference).

    • cap

      public RandomVariable cap​(double cap)
      Description copied from interface: RandomVariable
      Applies x → min(x,cap) to this random variable. It returns a new random variable with the result.
      Specified by:
      cap in interface RandomVariable
      Parameters:
      cap - The cap.
      Returns:
      New random variable with the result of the function.

    • floor

      public RandomVariable floor​(double floor)
      Description copied from interface: RandomVariable
      Applies x → max(x,floor) to this random variable. It returns a new random variable with the result.
      Specified by:
      floor in interface RandomVariable
      Parameters:
      floor - The floor.
      Returns:
      New random variable with the result of the function.

    • add

      public RandomVariable add​(double value)
      Description copied from interface: RandomVariable
      Applies x → x + value to this random variable. It returns a new random variable with the result.
      Specified by:
      add in interface RandomVariable
      Parameters:
      value - The value to add.
      Returns:
      New random variable with the result of the function.

    • sub

      public RandomVariable sub​(double value)
      Description copied from interface: RandomVariable
      Applies x → x - value to this random variable.
      Specified by:
      sub in interface RandomVariable
      Parameters:
      value - The value to subtract.
      Returns:
      New random variable with the result of the function.

    • mult

      public RandomVariable mult​(double value)
      Description copied from interface: RandomVariable
      Applies x → x * value to this random variable.
      Specified by:
      mult in interface RandomVariable
      Parameters:
      value - The value to multiply.
      Returns:
      New random variable with the result of the function.

    • div

      public RandomVariable div​(double value)
      Description copied from interface: RandomVariable
      Applies x → x / value to this random variable.
      Specified by:
      div in interface RandomVariable
      Parameters:
      value - The value to divide.
      Returns:
      New random variable with the result of the function.

    • pow

      public RandomVariable pow​(double exponent)
      Description copied from interface: RandomVariable
      Applies x → pow(x,exponent) to this random variable.
      Specified by:
      pow in interface RandomVariable
      Parameters:
      exponent - The exponent.
      Returns:
      New random variable with the result of the function.

    • average

      public RandomVariable average()
      Description copied from interface: RandomVariable
      Returns a random variable which is deterministic and corresponds the expectation of this random variable.
      Specified by:
      average in interface RandomVariable
      Returns:
      New random variable being the expectation of this random variable.

    • getConditionalExpectation

      public RandomVariable getConditionalExpectation​(ConditionalExpectationEstimator estimator)
      Description copied from interface: RandomVariable
      Returns the conditional expectation using a given conditional expectation estimator.
      Specified by:
      getConditionalExpectation in interface RandomVariable
      Parameters:
      estimator - A given conditional expectation estimator.
      Returns:
      The conditional expectation of this random variable (as a random variable)

    • squared

      public RandomVariable squared()
      Description copied from interface: RandomVariable
      Applies x → x * x to this random variable.
      Specified by:
      squared in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • sqrt

      public RandomVariable sqrt()
      Description copied from interface: RandomVariable
      Applies x → sqrt(x) to this random variable.
      Specified by:
      sqrt in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • exp

      public RandomVariable exp()
      Description copied from interface: RandomVariable
      Applies x → exp(x) to this random variable.
      Specified by:
      exp in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • log

      public RandomVariable log()
      Description copied from interface: RandomVariable
      Applies x → log(x) to this random variable.
      Specified by:
      log in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • sin

      public RandomVariable sin()
      Description copied from interface: RandomVariable
      Applies x → sin(x) to this random variable.
      Specified by:
      sin in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • cos

      public RandomVariable cos()
      Description copied from interface: RandomVariable
      Applies x → cos(x) to this random variable.
      Specified by:
      cos in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • add

      public RandomVariable add​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → x+randomVariable to this random variable.
      Specified by:
      add in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • sub

      public RandomVariable sub​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → x-randomVariable to this random variable.
      Specified by:
      sub in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • bus

      public RandomVariable bus​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → randomVariable-x to this random variable.
      Specified by:
      bus in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • mult

      public RandomVariable mult​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → x*randomVariable to this random variable.
      Specified by:
      mult in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • div

      public RandomVariable div​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → x/randomVariable to this random variable.
      Specified by:
      div in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • vid

      public RandomVariable vid​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → randomVariable/x to this random variable.
      Specified by:
      vid in interface RandomVariable
      Parameters:
      randomVariable - A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • cap

      public RandomVariable cap​(RandomVariable randomVariable)
      Description copied from interface: RandomVariable
      Applies x → min(x,cap) to this random variable.
      Specified by:
      cap in interface RandomVariable
      Parameters:
      randomVariable - The cap. A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • floor

      public RandomVariable floor​(RandomVariable floor)
      Description copied from interface: RandomVariable
      Applies x → max(x,floor) to this random variable.
      Specified by:
      floor in interface RandomVariable
      Parameters:
      floor - The floor. A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • accrue

      public RandomVariable accrue​(RandomVariable rate, double periodLength)
      Description copied from interface: RandomVariable
      Applies x → x * (1.0 + rate * periodLength) to this random variable.
      Specified by:
      accrue in interface RandomVariable
      Parameters:
      rate - The accruing rate. A random variable (compatible with this random variable).
      periodLength - The period length
      Returns:
      New random variable with the result of the function.

    • discount

      public RandomVariable discount​(RandomVariable rate, double periodLength)
      Description copied from interface: RandomVariable
      Applies x → x / (1.0 + rate * periodLength) to this random variable.
      Specified by:
      discount in interface RandomVariable
      Parameters:
      rate - The discounting rate. A random variable (compatible with this random variable).
      periodLength - The period length
      Returns:
      New random variable with the result of the function.

    • choose

      public RandomVariable choose​(RandomVariable valueIfTriggerNonNegative, RandomVariable valueIfTriggerNegative)
      Description copied from interface: RandomVariable
      Applies x → (x ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
      Specified by:
      choose in interface RandomVariable
      Parameters:
      valueIfTriggerNonNegative - The value used if this is greater or equal 0
      valueIfTriggerNegative - The value used if the this is less than 0
      Returns:
      New random variable with the result of the function.

    • invert

      public RandomVariable invert()
      Description copied from interface: RandomVariable
      Applies x → 1/x to this random variable.
      Specified by:
      invert in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • abs

      public RandomVariable abs()
      Description copied from interface: RandomVariable
      Applies x → Math.abs(x), i.e. x → |x| to this random variable.
      Specified by:
      abs in interface RandomVariable
      Returns:
      New random variable with the result of the function.

    • addProduct

      public RandomVariable addProduct​(RandomVariable factor1, double factor2)
      Description copied from interface: RandomVariable
      Applies x → x + factor1 * factor2
      Specified by:
      addProduct in interface RandomVariable
      Parameters:
      factor1 - The factor 1. A random variable (compatible with this random variable).
      factor2 - The factor 2.
      Returns:
      New random variable with the result of the function.

    • addProduct

      public RandomVariable addProduct​(RandomVariable factor1, RandomVariable factor2)
      Description copied from interface: RandomVariable
      Applies x → x + factor1 * factor2
      Specified by:
      addProduct in interface RandomVariable
      Parameters:
      factor1 - The factor 1. A random variable (compatible with this random variable).
      factor2 - The factor 2. A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • addRatio

      public RandomVariable addRatio​(RandomVariable numerator, RandomVariable denominator)
      Description copied from interface: RandomVariable
      Applies x → x + numerator / denominator
      Specified by:
      addRatio in interface RandomVariable
      Parameters:
      numerator - The numerator of the ratio to add. A random variable (compatible with this random variable).
      denominator - The denominator of the ratio to add. A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • subRatio

      public RandomVariable subRatio​(RandomVariable numerator, RandomVariable denominator)
      Description copied from interface: RandomVariable
      Applies x → x - numerator / denominator
      Specified by:
      subRatio in interface RandomVariable
      Parameters:
      numerator - The numerator of the ratio to sub. A random variable (compatible with this random variable).
      denominator - The denominator of the ratio to sub. A random variable (compatible with this random variable).
      Returns:
      New random variable with the result of the function.

    • isNaN

      public RandomVariable isNaN()
      Description copied from interface: RandomVariable
      Applies x → (Double.isNaN(x) ? 1.0 : 0.0)
      Specified by:
      isNaN in interface RandomVariable
      Returns:
      A random variable which is 1.0 for all states that are NaN, otherwise 0.0.

    • getOperator

      public IntToDoubleFunction getOperator()
      Description copied from interface: RandomVariable
      Returns the operator path → this.get(path) corresponding to this random variable.
      Specified by:
      getOperator in interface RandomVariable
      Returns:
      The operator path → this.get(path) corresponding to this random variable.

    • getRealizationsStream

      public DoubleStream getRealizationsStream()
      Description copied from interface: RandomVariable
      Returns a stream of doubles corresponding to the realizations of this random variable.
      Specified by:
      getRealizationsStream in interface RandomVariable
      Returns:
      A stream of doubles corresponding to the realizations of this random variable.

    • apply

      public RandomVariable apply​(DoubleUnaryOperator operator)
      Description copied from interface: RandomVariable
      Applies x → operator(x) to this random variable. It returns a new random variable with the result.
      Specified by:
      apply in interface RandomVariable
      Parameters:
      operator - An unary operator/function, mapping double to double.
      Returns:
      New random variable with the result of the function.

    • apply

      public RandomVariable apply​(DoubleBinaryOperator operator, RandomVariable argument)
      Description copied from interface: RandomVariable
      Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable. It returns a new random variable with the result.
      Specified by:
      apply in interface RandomVariable
      Parameters:
      operator - A binary operator/function, mapping (double,double) to double.
      argument - A random variable.
      Returns:
      New random variable with the result of the function.

    • apply

      public RandomVariable apply​(DoubleTernaryOperator operator, RandomVariable argument1, RandomVariable argument2)
      Description copied from interface: RandomVariable
      Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable. It returns a new random variable with the result.
      Specified by:
      apply in interface RandomVariable
      Parameters:
      operator - A ternary operator/function, mapping (double,double,double) to double.
      argument1 - A random variable representing y.
      argument2 - A random variable representing z.
      Returns:
      New random variable with the result of the function.

    • getVarianceAsRandomVariableAAD

      public RandomVariable getVarianceAsRandomVariableAAD()

    • getSampleVarianceAsRandomVariableAAD

      public RandomVariable getSampleVarianceAsRandomVariableAAD()

    • getStandardDeviationAsRandomVariableAAD

      public RandomVariable getStandardDeviationAsRandomVariableAAD()

    • getStandardErrorAsRandomVariableAAD

      public RandomVariable getStandardErrorAsRandomVariableAAD()

    • getMinAsRandomVariableAAD

      public RandomVariable getMinAsRandomVariableAAD()

    • getMaxAsRandomVariableAAD

      public RandomVariable getMaxAsRandomVariableAAD()

    • getTangents

      public Map<Long,​RandomVariable> getTangents()
      Description copied from interface: RandomVariableDifferentiable
      Returns the tangents of this random variable with respect to all its dependent nodes. The method calculated the map \( u \mapsto \frac{d u}{d v} \) where \( v \) denotes this.
      Specified by:
      getTangents in interface RandomVariableDifferentiable
      Returns:
      The map of all tangents .