This class implements gamma random variate generators using a method that combines acceptance-rejection with acceptance-complement, and proposed in [2], [4] . More...

Inheritance diagram for umontreal.ssj.randvar.GammaAcceptanceRejectionGen:

Public Member Functions
	GammaAcceptanceRejectionGen (RandomStream s, RandomStream aux, double alpha, double lambda)
	Creates a gamma random variate generator with parameters.
	GammaAcceptanceRejectionGen (RandomStream s, double alpha, double lambda)
	Creates a gamma random variate generator with parameters.
	GammaAcceptanceRejectionGen (RandomStream s, RandomStream aux, GammaDist dist)
	Creates a new generator object for the gamma distribution dist, using main stream s and auxiliary stream aux.
	GammaAcceptanceRejectionGen (RandomStream s, GammaDist dist)
	Creates a new generator object for the gamma distribution dist and stream s for both the main and auxiliary stream.
RandomStream	getAuxStream ()
	Returns the auxiliary stream associated with this object.
double	nextDouble ()
	Generates a random number from the continuous distribution contained in this object.
double	nextDoubleLog ()
	Returns the natural log value of a new gamma variate.
Public Member Functions inherited from umontreal.ssj.randvar.GammaGen
	GammaGen (RandomStream s, double alpha, double lambda)
	Creates a gamma random variate generator with parameters.
	GammaGen (RandomStream s, double alpha)
	Creates a gamma random variate generator with parameters.
	GammaGen (RandomStream s, GammaDist dist)
	Creates a new generator object for the gamma distribution dist and stream s.
double	getAlpha ()
	Returns the parameter \(\alpha\) of this object.
double	getLambda ()
	Returns the parameter \(\lambda\) of this object.
Public Member Functions inherited from umontreal.ssj.randvar.RandomVariateGen
	RandomVariateGen (RandomStream s, Distribution dist)
	Creates a new random variate generator from the distribution dist, using stream s.
void	nextArrayOfDouble (double[] v, int start, int n)
	Generates n random numbers from the continuous distribution contained in this object.
double[]	nextArrayOfDouble (int n)
	Generates n random numbers from the continuous distribution contained in this object, and returns them in a new array of size n.
RandomStream	getStream ()
	Returns the umontreal.ssj.rng.RandomStream used by this generator.
void	setStream (RandomStream stream)
	Sets the umontreal.ssj.rng.RandomStream used by this generator to stream.
Distribution	getDistribution ()
	Returns the umontreal.ssj.probdist.Distribution used by this generator.
String	toString ()
	Returns a String containing information about the current generator.

Static Public Member Functions
static double	nextDouble (RandomStream s, RandomStream aux, double alpha, double lambda)
	Generates a new gamma variate with parameters \(\alpha= \) alpha and \(\lambda= \) lambda, using main stream s and auxiliary stream aux.
static double	nextDouble (RandomStream s, double alpha, double lambda)
	Same as nextDouble (s, s, alpha, lambda).
static double	nextDoubleLog (RandomStream s, RandomStream aux, double alpha, double lambda)
	Returns the natural log value of a new gamma variate with parameters.
static double	nextDoubleLog (RandomStream s, double alpha, double lambda)
	Same as nextDoubleLog (s, s, alpha, lambda).

Additional Inherited Members
Protected Member Functions inherited from umontreal.ssj.randvar.GammaGen
void	setParams (double alpha, double lambda)
	Sets the parameter \(\alpha\) and \(\lambda\) of this object.

Detailed Description

This class implements gamma random variate generators using a method that combines acceptance-rejection with acceptance-complement, and proposed in [2], [4] .

It uses acceptance-rejection for \(\alpha<1\) and acceptance-complement for

\(\alpha\ge1\).

              The above papers may lead to numerical errors
              when @f$\alpha@f$ is small. When @f$\alpha< 0.1@f$, the
              acceptance-rejection algorithm of

[164] will be used. This algorithm generates the log value of a gamma variate and it can handle a very small \(\alpha\) parameter. Use the nextDoubleLog methods to get the natural log value of the generated gamma.

When \(\alpha\) is close to 0, the generated gamma variate may be numerically too small to be represented by the primitive date type double. The method nextDoubleLog can be used to generate the natural log value of a gamma variate. This allows the generation of very small gamma variates.

For each gamma variate, the first uniform required is taken from the main stream and all additional uniforms (after the first rejection) are obtained from the auxiliary stream.

Definition at line 63 of file GammaAcceptanceRejectionGen.java.

Constructor & Destructor Documentation

◆ GammaAcceptanceRejectionGen() [1/4]

umontreal.ssj.randvar.GammaAcceptanceRejectionGen.GammaAcceptanceRejectionGen	(	RandomStream	s,
		RandomStream	aux,
		double	alpha,
		double	lambda )

Creates a gamma random variate generator with parameters.

\(\alpha=\) alpha and \(\lambda=\) lambda, using main stream s and auxiliary stream aux. The auxiliary stream is used when a random number of uniforms is required for a rejection-type generation method.

Definition at line 122 of file GammaAcceptanceRejectionGen.java.

◆ GammaAcceptanceRejectionGen() [2/4]

umontreal.ssj.randvar.GammaAcceptanceRejectionGen.GammaAcceptanceRejectionGen	(	RandomStream	s,
		double	alpha,
		double	lambda )

Creates a gamma random variate generator with parameters.

\(\alpha=\) alpha and \(\lambda=\) lambda, using stream s.

Definition at line 136 of file GammaAcceptanceRejectionGen.java.

◆ GammaAcceptanceRejectionGen() [3/4]

umontreal.ssj.randvar.GammaAcceptanceRejectionGen.GammaAcceptanceRejectionGen	(	RandomStream	s,
		RandomStream	aux,
		GammaDist	dist )

Creates a new generator object for the gamma distribution dist, using main stream s and auxiliary stream aux.

The auxiliary stream is used when a random number of uniforms is required for a rejection-type generation method.

Definition at line 145 of file GammaAcceptanceRejectionGen.java.

◆ GammaAcceptanceRejectionGen() [4/4]

umontreal.ssj.randvar.GammaAcceptanceRejectionGen.GammaAcceptanceRejectionGen	(	RandomStream	s,
		GammaDist	dist )

Creates a new generator object for the gamma distribution dist and stream s for both the main and auxiliary stream.

Definition at line 159 of file GammaAcceptanceRejectionGen.java.

Member Function Documentation

◆ getAuxStream()

RandomStream umontreal.ssj.randvar.GammaAcceptanceRejectionGen.getAuxStream ( )

Returns the auxiliary stream associated with this object.

Definition at line 166 of file GammaAcceptanceRejectionGen.java.

◆ nextDouble() [1/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDouble ( )

Generates a random number from the continuous distribution contained in this object.

By default, this method uses inversion by calling the umontreal.ssj.probdist.ContinuousDistribution.inverseF method of the distribution object. Alternative generating methods are provided in subclasses.

Returns: the generated value

Reimplemented from umontreal.ssj.randvar.RandomVariateGen.

Definition at line 217 of file GammaAcceptanceRejectionGen.java.

◆ nextDouble() [2/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDouble	(	RandomStream	s,
		double	alpha,
		double	lambda )

static

Same as nextDouble (s, s, alpha, lambda).

Reimplemented from umontreal.ssj.randvar.GammaGen.

Definition at line 227 of file GammaAcceptanceRejectionGen.java.

◆ nextDouble() [3/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDouble	(	RandomStream	s,
		RandomStream	aux,
		double	alpha,
		double	lambda )

static

Generates a new gamma variate with parameters \(\alpha= \) alpha and \(\lambda= \) lambda, using main stream s and auxiliary stream aux.

Definition at line 176 of file GammaAcceptanceRejectionGen.java.

◆ nextDoubleLog() [1/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDoubleLog ( )

Returns the natural log value of a new gamma variate.

When the shape parameter \(\alpha\) is close to 0, generating the log value of the gamma variate is numerically more stable than generating directly the gamma value with nextDouble.

Definition at line 237 of file GammaAcceptanceRejectionGen.java.

◆ nextDoubleLog() [2/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDoubleLog	(	RandomStream	s,
		double	alpha,
		double	lambda )

static

Same as nextDoubleLog (s, s, alpha, lambda).

Definition at line 268 of file GammaAcceptanceRejectionGen.java.

◆ nextDoubleLog() [3/3]

double umontreal.ssj.randvar.GammaAcceptanceRejectionGen.nextDoubleLog	(	RandomStream	s,
		RandomStream	aux,
		double	alpha,
		double	lambda )

static

Returns the natural log value of a new gamma variate with parameters.

\(\alpha= \) alpha and \(\lambda= \) lambda, using main stream s and auxiliary stream aux. When the shape parameter \(\alpha\) is close to 0, generating the log value of the gamma variate is numerically more stable than generating directly the gamma value with nextDouble.

Definition at line 253 of file GammaAcceptanceRejectionGen.java.

The documentation for this class was generated from the following file:

src/main/java/umontreal/ssj/randvar/GammaAcceptanceRejectionGen.java

SSJ API Documentation Stochastic Simulation in Java

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ GammaAcceptanceRejectionGen() [1/4]

◆ GammaAcceptanceRejectionGen() [2/4]

◆ GammaAcceptanceRejectionGen() [3/4]

◆ GammaAcceptanceRejectionGen() [4/4]

Member Function Documentation

◆ getAuxStream()

◆ nextDouble() [1/3]

◆ nextDouble() [2/3]

◆ nextDouble() [3/3]

◆ nextDoubleLog() [1/3]

◆ nextDoubleLog() [2/3]

◆ nextDoubleLog() [3/3]