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SSJ
3.3.1
Stochastic Simulation in Java
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SSJ (Stochastic Simulation in Java) is a Java library offering tools for stochastic (Monte Carlo) simulation [9], [119]. It provides basic facilities for random number generation with multiple streams and substreams, implements univariate and multivariate probability distributions and variate generators for them, functions to simulate certain types of stochastic processes, efficient event-list management tools for discrete-event simulation, support for an extensive collection of randomized quasi-Monte Carlo methods, statistical probes to collect data from simulation experiments, statistical estimation and goodness-of-fit methods, some tools to produce plots in LaTeX, and various other classes and methods that can be useful for simulation.
These tools are organized in a powerful and flexible system (or framework) of packages and classes. SSJ can be used to write simulation programs for stochastic models of various types of real-life systems, simple or very complex. It is also appropriate for implementing Monte Carlo methods for various types of applications.
For discrete-event simulation, commercial tools with drag-and-drop graphical interfaces such as AnyLogic, Arena, Automod, ProModel, Simio, Simul8, Witness, and many others, are widely used. Among their advantages, these tools do not require knowledge of a programming language, provide graphical animation, have automatic facilities to collect statistics and perform experiments, and can sometimes perform optimization to a certain extent. On the other hand, they are often too restrictive, because they are targeted at specific classes of models. With these tools, simulating a system whose logic is complicated or unconventional may become difficult. The graphical and automatic devices also tend to slow down the simulation significantly. Fast execution times are important for example in a context of optimization, where thousands of variants of a base system may have to be simulated, or for on-line applications where a fast response time is required.
SSJ, on the other hand, is very flexible and designed to facilitate efficient simulation modeling and programming in the Java language. A first version was described in [136] and [121] . It is growing actively: new packages, classes, and methods are added regularly. It can be used freely by anyone and the source code is also freely available.
The facilities offered are grouped into different packages that are connected to each other. All the packages and classes have a detailed documentation produced by Doxygen. One may also want to look at the old .pdf manuals available at Old pdf doc; they are out of date but contains more detailed explanations in some parts. (A detailed .pdf manual will be available in the future.)
There is also a tutorial guide that contains a set of commented-out examples of simulation programs, together with the Java code (see the Documentation section below). Some of these examples are taken from books such as [119] and [69], for example. The best way to start learning SSJ is to study these examples and refer to the online detailed documentation when needed.
The packages currently offered are the following.
Probability distributions, random number and random variate generation, and quasi-Monte Carlo:
umontreal.ssj.probdist contains a set of Java classes providing methods to compute mass, density, distribution, complementary distribution, and inverse distribution functions for many discrete and continuous probability distributions, as well as estimating the parameters of these distributions from given data.
umontreal.ssj.probdistmulti contains a set of Java classes providing methods to compute mass, density, distribution, complementary distribution, for some multi-dimensionnal discrete and continuous probability distributions.
umontreal.ssj.rng provides facilities for generating uniform random numbers over the interval \((0,1)\), or over a given range of integer values, and other types of simple random objects such as random permutations. The basic type of object here is a stream of random numbers.
umontreal.ssj.randvar provides a collection of classes for non-uniform random variate generation, primarily from standard distributions.
umontreal.ssj.randvarmulti provides a collection of classes for random number generators for some multi-dimensional distributions.
umontreal.ssj.stochprocess implements various kinds of stochastic processes and methods to generate their sample paths.
Tools for quasi-Monte Carlo:
umontreal.ssj.hups provides classes implementing highly uniform point sets and sequences (HUPS), also called low-discrepancy sets and sequences, used for quasi-Monte Carlo methods, and tools for their randomization (for randomized quasi-Monte Carlo).
umontreal.ssj.latnetbuilder is an interface to the LatNet Builder software to constructs quasi-Monte Carlo point sets and sequences of various types (lattices, polynomial lattices, digital nets, etc.) for arbitrary dimension and cardinality, various uniformity criteria, etc.
Statistical tools:
umontreal.ssj.stat provides elementary tools for collecting statistics and computing confidence intervals.
umontreal.ssj.stat.matrix this subpackage of stat provides facilities to create and manage rectangular two-dimensional arrays of statistical collectors.
umontreal.ssj.stat.list this subpackage of stat provides support to manage lists of statistical collectors.
umontreal.ssj.stat.list.lincv this subpackage of stat.list provides classes that help implement control variables on lists of collectors.
umontreal.ssj.gof contains tools for performing univariate goodness-of-fit (GOF) statistical tests.
umontreal.ssj.stat.density offers tools to construct histograms and estimate densities from data.
Discrete-event simulation:
umontreal.ssj.simevents provides and manages the event-driven simulation facilities as well as the simulation clock. Can manage several simulations in parallel, in the same program.
umontreal.ssj.simevents.eventlist this subpackage of simevents offers several kinds of event list implementations.
Simulation experiments with MC and RQMC:
umontreal.ssj.charts provides tools for construction, visualization, and customization of \(x--y\) plots, histograms, and empirical styled charts from a Java program.
umontreal.ssj.simexp provides facilities for performing simulation experiments using independent replications as well as simulations using batch means.
umontreal.ssj.mcqmctools offers some predefined methods to perform Monte Carlo and (randomized) quasi-Monte Carlo experiments.
umontreal.ssj.mcqmctools.anova provides methods to estimate ANOVA components for Monte Carlo models.
umontreal.ssj.markovchainrqmc contains classes designed for Markov chain simulation using randomized quasi-Monte Carlo, e.g., via Array-RQMC.
General utilities:
umontreal.ssj.util contains basic utility classes used in the implementation of SSJ, and which can be useful elsewhere. For example, there are timers (for CPU usage), utilities to read or format numbers and arrays from/to text, operations on binary vectors and matrices, some mathematical functions and constants, root-finding tools, and so on.
umontreal.ssj.util.sort contains utility classes to sort multi-dimensional points. This is useful for Array-RQMC, for example.
umontreal.ssj.functions implements certain functions that can be passed as objects.
umontreal.ssj.functionfit implements some elementary function approximation methods such as polynomial interpolation, splines, linear regression, etc.
The following free third-party Java libraries are used in the implementation of some SSJ classes. See the SSJ installation instructions for how to install them on your computer.
The Colt library , developed at the Centre Européen de Recherche Nucléaire (CERN) in Geneva [91] , is a large library that provides a wide range of facilities for high performance scientific and technical computing in Java. SSJ uses the class DoubleArrayList from Colt in a few of its classes, namely in packages umontreal.ssj.stat and umontreal.ssj.hups. The reason is that this class provides a very efficient and convenient implementation of an (automatically) extensible array of double, together with several methods for computing statistics for the observations stored in the array (see, e.g., Descriptive). Using Colt was more efficient than using what was available in Java, at least when we decided to do that around 2002.
The Colt library is distributed with the SSJ package as colt.jar.
The optimization package of Steve Verrill includes Java translations of the MINPACK routines [96] for nonlinear least squares problems as well as UNCMIN routines [211] for unconstrained optimization. They were translated from Fortran to Java by Steve Verrill at the USDA Forest Products Laboratory Madison, Wisconsin, USA, and are in the public domain. They are included in the SSJ distribution as the optimization.jar archive. It is used only in umontreal.ssj.probdist to compute maximum likelihood estimators. This archive also contains the linear_algebra library, based on public domain LINPACK routines, also translated from Fortran to Java by Steve Verrill.
JFreeChart is a free Java library that can generate a wide variety of charts and plots for use in applications, applets and servlets. JFreeChart currently supports, amongst others, bar charts, pie charts, line charts, XY-plots, histograms, scatter plots and time series plots. It is distributed with SSJ as jfreechart-*.jar. JCommon is a free general purpose Java library containing many useful classes used by JFreeChart and other Java packages. It is distributed with SSJ as jcommon-*.jar. JFreeChart (and JCommon) are used in the SSJ package charts to create different kinds of charts.
SSJ provides an interface to the UNURAN library for nonuniform random number generation [166] , in the umontreal.ssj.randvar package. UNURAN does not have to be installed to be used with SSJ, because it is linked statically with the appropriate SSJ native library. However, the UNURAN documentation will be required to take full advantage of the library.
The package umontreal.ssj.latnetbuilder provides an interface to LatNet Builder which is a C++ library and tool to construct highly-uniform point sets such as lattice rules, polynomial lattice rules, and digital nets in base 2. LatNet Builder must be installed to be able to use this package.
The tutorial available in the scr/main/docs/examples/tutorial directory of this distribution is the best starting point to learn SSJ. It can be accessed by clicking "SSJ Introduction and Tutorial by Examples" in the "Related Pages" section of this Git distribution.
Every package introduced here contains its own reference documentation as a PDF file, in the doc/pdf subdirectory. This documentation describes in more details how to use the package and provides a description of each class and method.
SSJ was designed and implemented under the supervision of Pierre L’Ecuyer. A first version was released around 2001.
The following people (by alphabetic order) have contributed significantly to SSJ:
Mathieu Bague, Sylvain Bonnet, Éric Buist, Wyean Chan, Maxime Dion, Yves Edel, Regina H. S. Hong, Alexander Keller, Pierre L'Ecuyer, Étienne Marcotte, Lakhdar Meliani, David Munger, François Panneton, Florian Puchhammer, Jean-Sebastien Parent-Chartier, Richard Simard, Clément Teule, Mamadou Thiongane, Pierre-Alexandre Tremblay, Jean Vaucher.
The development of SSJ has been supported by NSERC-Canada grant No. ODGP0110050, NATEQ-Québec grant No. 02ER3218, a Killam fellowship, and a Canada Research Chair to P. L'Ecuyer.
1.8.14