Module net.finmath.lib

Package net.finmath.randomnumbers

Class AcceptanceRejectionRandomNumberGenerator

java.lang.Object

net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator

All Implemented Interfaces:

Serializable, RandomNumberGenerator

public class AcceptanceRejectionRandomNumberGenerator
extends Object
implements RandomNumberGenerator

Class implementing RandomNumberGenerator by the acceptance rejection method. Note that the acceptance rejection methods requires a two dimensional uniform random number sequence with independent components.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
AcceptanceRejectionRandomNumberGenerator(RandomNumberGenerator uniformRandomNumberGenerator, DoubleUnaryOperator targetDensity, DoubleUnaryOperator referenceDensity, DoubleUnaryOperator referenceDistributionICDF, double acceptanceLevel)

Method Summary

Modifier and Type	Method	Description
int	getDimension()	Get the sample vector dimension.
double[]	getNext()	Get the next sample vector of dimension n, where n is getDimension.

Methods inherited from class java.lang.Object

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

Constructor Details

AcceptanceRejectionRandomNumberGenerator

public AcceptanceRejectionRandomNumberGenerator(RandomNumberGenerator uniformRandomNumberGenerator,
 DoubleUnaryOperator targetDensity,
 DoubleUnaryOperator referenceDensity,
 DoubleUnaryOperator referenceDistributionICDF,
 double acceptanceLevel)

Method Details

getNext

public double[] getNext()

Description copied from interface: RandomNumberGenerator

Get the next sample vector of dimension n, where n is getDimension. An implementation has to be thread safe.

Specified by:

getNext in interface RandomNumberGenerator

Returns:

The next sample vector of dimension n, where n is getDimension.

getDimension

public int getDimension()

Description copied from interface: RandomNumberGenerator

Get the sample vector dimension.

Specified by:

getDimension in interface RandomNumberGenerator

Returns:

The sample vector dimension n.