com.numericalmethod.suanshu.stats.random.pseudorandom.linear
Class MRG

java.lang.Object
  com.numericalmethod.suanshu.stats.random.pseudorandom.linear.MRG

All Implemented Interfaces:

LinearCongruentialGenerator, RandomLongGenerator, RandomNumberGenerator

public class MRG
extends java.lang.Object
implements LinearCongruentialGenerator

A Multiple Recursive Generator is a linear congruential generator which takes this form:

 xi = (a1 * xi-1 + a2 * xi-2 + ... + ak * xi-k) mod m
 ui = xi / m
 

See Also:

"p. 44. Monte Carlo Methods in Financial Engineering. Paul Glasserman. 2004."

Field Summary

long	m the modulus

Constructor Summary

MRG(long m, long... a)
Construct a Multiple Recursive Generator.

Method Summary

long	modulus() Get the modulus of this linear congruential generator.
double	nextDouble() Get the next random double between 0 and 1.
long	nextLong() Get the next random long.
int	order() Get the order of recursion.
void	seed(long... x) This function must be called at least once before call nextLong() to seed the generator.

Methods inherited from class java.lang.Object

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

Field Detail

m

public final long m

the modulus

Constructor Detail

MRG

public MRG(long m,
           long... a)

Construct a Multiple Recursive Generator.

Parameters:

m - the modulus

a - multipliers for the Lehmer rng (a long)

Method Detail

seed

public void seed(long... x)

This function must be called at least once before call nextLong() to seed the generator.

Specified by:

seed in interface RandomNumberGenerator

Parameters:

x - the seeds

order

public int order()

Description copied from interface: LinearCongruentialGenerator

Get the order of recursion.

Specified by:

order in interface LinearCongruentialGenerator

Returns:

the order of recursion

modulus

public long modulus()

Description copied from interface: LinearCongruentialGenerator

Get the modulus of this linear congruential generator.

Specified by:

modulus in interface LinearCongruentialGenerator

Returns:

m

nextLong

public long nextLong()

Description copied from interface: RandomLongGenerator

Get the next random long.

Specified by:

nextLong in interface RandomLongGenerator

Returns:

the next random long

nextDouble

public double nextDouble()

Get the next random double between 0 and 1.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number between 0 and 1