Module ojalgo

Package org.ojalgo.random.process

Class WienerProcess

java.lang.Object

org.ojalgo.random.process.AbstractProcess<D>

org.ojalgo.random.process.SingleValueBasedProcess<Normal>

org.ojalgo.random.process.WienerProcess

All Implemented Interfaces:

Process1D.ComponentProcess<Normal>, RandomProcess<Normal>

public final class WienerProcess
extends SingleValueBasedProcess<Normal>
implements Process1D.ComponentProcess<Normal>

Nested Class Summary

Nested classes/interfaces inherited from interface org.ojalgo.random.process.RandomProcess

RandomProcess.SimulationResults

Field Summary

Fields

Modifier and Type	Field	Description
private static Normal	GENERATOR

Constructor Summary

Constructors

Modifier	Constructor	Description
	WienerProcess()
private	WienerProcess(double initialValue)

Method Summary

Modifier and Type	Method	Description
(package private) double	doStep(double stepSize, double normalisedRandomIncrement)
Normal	getDistribution(double evaluationPoint)
(package private) double	getExpected(double stepSize)
(package private) double	getLowerConfidenceQuantile(double stepSize, double confidence)
(package private) double	getNormalisedRandomIncrement()
(package private) double	getStandardDeviation(double stepSize)
(package private) double	getUpperConfidenceQuantile(double stepSize, double confidence)
double	getValue()
(package private) double	getVariance(double stepSize)
void	setValue(double newValue)
double	step(double stepSize, double standardGaussianInnovation)

Methods inherited from class org.ojalgo.random.process.SingleValueBasedProcess

getCurrentValue, setCurrentValue, simulate

Methods inherited from class org.ojalgo.random.process.AbstractProcess

getExpected, getLowerConfidenceQuantile, getStandardDeviation, getUpperConfidenceQuantile, getVariance, step

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.ojalgo.random.process.RandomProcess

simulate

Field Detail

GENERATOR

private static final Normal GENERATOR

Constructor Detail

WienerProcess

public WienerProcess()

WienerProcess

private WienerProcess(double initialValue)

Method Detail

getDistribution

public Normal getDistribution(double evaluationPoint)

Specified by:

getDistribution in interface RandomProcess<Normal>

Parameters:

evaluationPoint - How far into the future?

Returns:

The distribution for the process value at that future time.

getValue

public double getValue()

Specified by:

getValue in interface Process1D.ComponentProcess<Normal>

setValue

public void setValue(double newValue)

Specified by:

setValue in interface Process1D.ComponentProcess<Normal>

step

public double step(double stepSize,
                   double standardGaussianInnovation)

Specified by:

step in interface Process1D.ComponentProcess<Normal>

doStep

double doStep(double stepSize,
              double normalisedRandomIncrement)

Specified by:

doStep in class AbstractProcess<Normal>

getExpected

double getExpected(double stepSize)

Specified by:

getExpected in class AbstractProcess<Normal>

getLowerConfidenceQuantile

double getLowerConfidenceQuantile(double stepSize,
                                  double confidence)

Specified by:

getLowerConfidenceQuantile in class AbstractProcess<Normal>

getNormalisedRandomIncrement

double getNormalisedRandomIncrement()

Specified by:

getNormalisedRandomIncrement in class AbstractProcess<Normal>

getStandardDeviation

double getStandardDeviation(double stepSize)

Specified by:

getStandardDeviation in class AbstractProcess<Normal>

getUpperConfidenceQuantile

double getUpperConfidenceQuantile(double stepSize,
                                  double confidence)

Specified by:

getUpperConfidenceQuantile in class AbstractProcess<Normal>

getVariance

double getVariance(double stepSize)

Specified by:

getVariance in class AbstractProcess<Normal>