Package org.drip.measure.crng

Class MultiStreamGenerator

java.lang.Object

org.drip.measure.crng.MultiStreamGenerator

public class MultiStreamGenerator
extends java.lang.Object

MultiStreamGenerator helps generate Multiple Independent (i.e., Non-Overlapping) Streams of Random Numbers.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = Continuous Random Number Stream Generator

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MultiStreamGenerator()

Method Summary

Modifier and Type	Method	Description
static double[][]	LeapFrog(int iNumStream, int iNumElementsPerStream)	Generate Multiple Independent Streams using the Leap Frog Technique from the Default Random Number Generator
static double[][]	LeapFrog(RandomNumberGenerator rng, int iNumStream, int iNumElementsPerStream)	Generate Multiple Independent Streams using the Leap Frog Technique
static double[][]	SkipAhead(int iNumStream, int iNumElementsPerStream)	Generate Multiple Independent Streams using the Skip Ahead Technique from the Default Random Number Generator
static double[][]	SkipAhead(RandomNumberGenerator rng, int iNumStream, int iNumElementsPerStream)	Generate Multiple Independent Streams using the Skip Ahead Technique

Methods inherited from class java.lang.Object

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

Constructor Details

MultiStreamGenerator

public MultiStreamGenerator()

Method Details

SkipAhead

public static final double[][] SkipAhead(RandomNumberGenerator rng,
int iNumStream,
int iNumElementsPerStream)

Generate Multiple Independent Streams using the Skip Ahead Technique

Parameters:

rng - The Random Number Generator

iNumStream - Number of Streams to be Generated

iNumElementsPerStream - Number of Elements Per Stream

Returns:

Double Array of Multiple Independent Streams

LeapFrog

public static final double[][] LeapFrog(RandomNumberGenerator rng,
int iNumStream,
int iNumElementsPerStream)

Generate Multiple Independent Streams using the Leap Frog Technique

Parameters:

rng - The Random Number Generator

iNumStream - Number of Streams to be Generated

iNumElementsPerStream - Number of Elements Per Stream

Returns:

Double Array of Multiple Independent Streams

SkipAhead

public static final double[][] SkipAhead(int iNumStream,
int iNumElementsPerStream)

Generate Multiple Independent Streams using the Skip Ahead Technique from the Default Random Number Generator

Parameters:

iNumStream - Number of Streams to be Generated

iNumElementsPerStream - Number of Elements Per Stream

Returns:

Double Array of Multiple Independent Streams

LeapFrog

public static final double[][] LeapFrog(int iNumStream,
int iNumElementsPerStream)

Generate Multiple Independent Streams using the Leap Frog Technique from the Default Random Number Generator

Parameters:

iNumStream - Number of Streams to be Generated

iNumElementsPerStream - Number of Elements Per Stream

Returns:

Double Array of Multiple Independent Streams