org.ojalgo.random.process
Interface RandomProcess<D extends Distribution>

All Known Implementing Classes:

GeometricBrownianMotion, MultidimensionalProcess, WienerProcess

public interface RandomProcess<D extends Distribution>

Author:

apete

Method Summary

D	getDistribution(double aStepSize) Calling this method repeatedly gives the same ressult, unless you call step(double) inbetween.
SampleSet[]	simulate(int aNumberOfRealisations, int aNumberOfSteps, double aStepSize)
double	step(double aStepSize) Calling this method repeatedly gives different, random, ressults.

Method Detail

getDistribution

D getDistribution(double aStepSize)

Calling this method repeatedly gives the same ressult, unless you call step(double) inbetween.

Parameters:

aStepSize - How far into the future?

Returns:

The distribution for the process value at that future time.

simulate

SampleSet[] simulate(int aNumberOfRealisations,
                     int aNumberOfSteps,
                     double aStepSize)

Returns:

An array of sample sets. The array has aNumberOfSteps elements, and each sample set has aNumberOfRealisations samples.

step

double step(double aStepSize)

Calling this method repeatedly gives different, random, ressults. Further, calling this method should update the process state so that subsequent calls to getDistribution would be different.

Parameters:

aStepSize - How far into the future?

Returns:

The new (randomly generated) process value at that future time.