com.numericalmethod.suanshu.stats.random.distribution
Class InverseTransformSampling

java.lang.Object
  com.numericalmethod.suanshu.stats.random.distribution.InverseTransformSampling

All Implemented Interfaces:

RandomNumberGenerator

Direct Known Subclasses:

Exponential, Rayleigh, Weibull

public class InverseTransformSampling
extends java.lang.Object
implements RandomNumberGenerator

This class creates a random variable from a UnivariateDistribution instance.

To generate a random variable X with a cumulative distribution function F(x) for all x, we first sample u from the uniform distribution Uniform[0,1]. Then, x = F-1(u) = Q(u).

This method requires that F has a continuous density function, hence, strictly increasing and its inverse well defined.

See Also:

• "p. 44. Monte Carlo Methods in Financial Engineering. Paul Glasserman. 2004."
• Wikipedia: Inverse transform sampling

Field Summary

UnivariateDistribution

distribution the distribution to generate random samples from

Constructor Summary

InverseTransformSampling(UnivariateDistribution distribution)
Construct a random number generator by sampling from a distribution.

InverseTransformSampling(UnivariateDistribution distribution, RandomNumberGenerator uniform)
Construct a random number generator by sampling from a distribution.

Method Summary

double	nextDouble() Get the next random double.
void	seed(long... seeds) Seed the random number generator to produce repeatable sequences.

Methods inherited from class java.lang.Object

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

Field Detail

distribution

public final UnivariateDistribution distribution

the distribution to generate random samples from

Constructor Detail

InverseTransformSampling

public InverseTransformSampling(UnivariateDistribution distribution,
                                RandomNumberGenerator uniform)

Construct a random number generator by sampling from a distribution.

Parameters:

distribution - the distribution to sample from

uniform - the uniform random number generator that generates u between 0 and 1

InverseTransformSampling

public InverseTransformSampling(UnivariateDistribution distribution)

Construct a random number generator by sampling from a distribution. The uniform random number generator used is the library default, namely, RNG.

Parameters:

distribution - the distribution to sample from

Method Detail

seed

public void seed(long... seeds)

Description copied from interface: RandomNumberGenerator

Seed the random number generator to produce repeatable sequences.

Specified by:

seed in interface RandomNumberGenerator

Parameters:

seeds - the seeds

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator

Get the next random double.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number