net.finmath.randomnumbers

Class AcceptanceRejectionRandomNumberGenerator

java.lang.Object

net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator

All Implemented Interfaces:

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

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
int	getDimension()
double[]	getNext()

Methods inherited from class java.lang.Object

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

Constructor Detail

AcceptanceRejectionRandomNumberGenerator

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

Method Detail

getNext

public double[] getNext()

Specified by:

getNext in interface RandomNumberGenerator

getDimension

public int getDimension()

Specified by:

getDimension in interface RandomNumberGenerator