Module net.finmath.lib

Package net.finmath.randomnumbers

package net.finmath.randomnumbers

Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions. Classes in this package provide wrappers for random number generators from thirs party libraries (e.g. Mersenne-Twister from commons-math), native implementation of quasi random number gerantors (e.g. Halton sequence) and algorithm to sample other distributions (like the Acceptance-Rejection method).

Author:

Christian Fries

Interface Summary

Interface	Description
RandomNumberGenerator	Interface for an n-dimensional random number generator generating a sequence of vectors sampling the space [0,1]^{n}
RandomNumberGenerator1D	Interface for a 1-dimensional random number generator generating a sequence of vectors sampling the space [0,1]

Class Summary

Class	Description
AcceptanceRejectionRandomNumberGenerator	Class implementing RandomNumberGenerator1D by the acceptance rejection method.
HaltonSequence	Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.
HighEntropyRandomNumberGenerator	Wrapper class for java.security.SecureRandom.
MersenneTwister	Mersenne Twister random number generator.
SobolSequence	Implements a multi-dimensional Sobol sequence.
SobolSequence1D	Implements a multi-dimensional Sobol sequence.
VanDerCorputSequence	A van-der-Corput sequence \( \{ x_{i} \vert i = 0, 1, \ldots \} \) implementing RandomNumberGenerator1D.