InverseGaussianMSHGen.java

/*
 * Class:        InverseGaussianMSHGen
 * Description:  inverse gaussian random variate generators
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.randvar;
 
import umontreal.ssj.rng.*;
import umontreal.ssj.probdist.*;

public class InverseGaussianMSHGen extends InverseGaussianGen {
   private NormalGen genN;

   public InverseGaussianMSHGen(RandomStream s, NormalGen sn, double mu, double lambda) {
      super(s, null);
      setParams(mu, lambda, sn);
   }

   public InverseGaussianMSHGen(RandomStream s, NormalGen sn, InverseGaussianDist dist) {
      super(s, dist);
      if (dist != null)
         setParams(dist.getMu(), dist.getLambda(), sn);
   }

   public static double nextDouble(RandomStream s, NormalGen sn, double mu, double lambda) {
      return mhs(s, sn, mu, lambda);
   }
 
   public double nextDouble() {
      return mhs(stream, genN, mu, lambda);
   }
 
//>>>>>>>>>>>>>>>>>>>>  P R I V A T E     M E T H O D S   <<<<<<<<<<<<<<<<<<<<
 
   private static double mhs(RandomStream stream, NormalGen genN, double mu, double lambda) {
      if (lambda <= 0.0)
         throw new IllegalArgumentException("lambda <= 0");
      if (mu <= 0.0)
         throw new IllegalArgumentException("mu <= 0");
 
      double z = genN.nextDouble();
      double ymu = mu * z * z;
      double x1 = mu + 0.5 * mu * ymu / lambda - 0.5 * mu / lambda * Math.sqrt(4.0 * ymu * lambda + ymu * ymu);
      double u = stream.nextDouble();
      if (u <= mu / (mu + x1))
         return x1;
      return mu * mu / x1;
   }
 
   protected void setParams(double mu, double lambda, NormalGen sn) {
      setParams(mu, lambda);
      this.genN = sn;
   }
 
}