Package org.ojalgo.random.process
Class WienerProcess
- java.lang.Object
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- org.ojalgo.random.process.AbstractProcess<D>
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- org.ojalgo.random.process.SingleValueBasedProcess<Normal>
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- org.ojalgo.random.process.WienerProcess
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- All Implemented Interfaces:
Process1D.ComponentProcess<Normal>
,RandomProcess<Normal>
public final class WienerProcess extends SingleValueBasedProcess<Normal> implements Process1D.ComponentProcess<Normal>
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Nested Class Summary
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Nested classes/interfaces inherited from interface org.ojalgo.random.process.RandomProcess
RandomProcess.SimulationResults
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Constructor Summary
Constructors Modifier Constructor Description WienerProcess()
private
WienerProcess(double initialValue)
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Method Summary
All Methods Instance Methods Concrete Methods 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)
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Methods inherited from class org.ojalgo.random.process.SingleValueBasedProcess
getCurrentValue, setCurrentValue, simulate
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Methods inherited from class org.ojalgo.random.process.AbstractProcess
getExpected, getLowerConfidenceQuantile, getStandardDeviation, getUpperConfidenceQuantile, getVariance, step
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface org.ojalgo.random.process.RandomProcess
simulate
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Field Detail
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GENERATOR
private static final Normal GENERATOR
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Method Detail
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getDistribution
public Normal getDistribution(double evaluationPoint)
- Specified by:
getDistribution
in interfaceRandomProcess<Normal>
- Parameters:
evaluationPoint
- How far into the future?- Returns:
- The distribution for the process value at that future time.
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getValue
public double getValue()
- Specified by:
getValue
in interfaceProcess1D.ComponentProcess<Normal>
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setValue
public void setValue(double newValue)
- Specified by:
setValue
in interfaceProcess1D.ComponentProcess<Normal>
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step
public double step(double stepSize, double standardGaussianInnovation)
- Specified by:
step
in interfaceProcess1D.ComponentProcess<Normal>
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doStep
double doStep(double stepSize, double normalisedRandomIncrement)
- Specified by:
doStep
in classAbstractProcess<Normal>
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getExpected
double getExpected(double stepSize)
- Specified by:
getExpected
in classAbstractProcess<Normal>
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getLowerConfidenceQuantile
double getLowerConfidenceQuantile(double stepSize, double confidence)
- Specified by:
getLowerConfidenceQuantile
in classAbstractProcess<Normal>
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getNormalisedRandomIncrement
double getNormalisedRandomIncrement()
- Specified by:
getNormalisedRandomIncrement
in classAbstractProcess<Normal>
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getStandardDeviation
double getStandardDeviation(double stepSize)
- Specified by:
getStandardDeviation
in classAbstractProcess<Normal>
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getUpperConfidenceQuantile
double getUpperConfidenceQuantile(double stepSize, double confidence)
- Specified by:
getUpperConfidenceQuantile
in classAbstractProcess<Normal>
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getVariance
double getVariance(double stepSize)
- Specified by:
getVariance
in classAbstractProcess<Normal>
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