Module net.finmath.lib

Package net.finmath.randomnumbers

Class AcceptanceRejectionRandomNumberGenerator

java.lang.Object

net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator

All Implemented Interfaces:

Serializable, DoubleSupplier, RandomNumberGenerator, RandomNumberGenerator1D

public class AcceptanceRejectionRandomNumberGenerator
extends Object
implements RandomNumberGenerator1D

Class implementing RandomNumberGenerator1D by the acceptance rejection method. Note that the acceptance rejection methods requires a two dimensional uniform random number sequence with independent components.

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AcceptanceRejectionRandomNumberGenerator(RandomNumberGenerator uniformRandomNumberGenerator, DoubleUnaryOperator targetDensity, DoubleUnaryOperator referenceDensity, DoubleUnaryOperator referenceDistributionICDF, double acceptanceLevel)	Create a random number sequence using the given input sequence and acceptance-rejection sampling.

Method Summary

Modifier and Type	Method	Description
double	nextDouble()	Thread safe implementation returning the next double value of this random number generator.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.randomnumbers.RandomNumberGenerator1D

getAsDouble, getDimension, getNext, nextDoubleFast

Constructor Details

AcceptanceRejectionRandomNumberGenerator

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

Create a random number sequence using the given input sequence and acceptance-rejection sampling.

Parameters:

uniformRandomNumberGenerator - A two dimension (at least) uniform number generator (with i.i.d components). The first two components will be used.

targetDensity - The density f of the target distribution F.

referenceDensity - The density g.

referenceDistributionICDF - The ICDF, i.e. the inverse of G where G' = g.

acceptanceLevel - The constant C such that f ≤ C g.

Method Details

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator1D

Thread safe implementation returning the next double value of this random number generator.

Specified by:

nextDouble in interface RandomNumberGenerator1D

Returns:

The next double value of this random number generator