org.ojalgo.random.process

Interface RandomProcess<D extends Distribution>

All Known Implementing Classes:

GaussianProcess, GeometricBrownianMotion, PoissonProcess, WienerProcess

public interface RandomProcess<D extends Distribution>

A random/stochastic process is a collection of random variables representing the evolution of some random value over "time".

Author:

apete

Nested Class Summary

Nested Classes

Modifier and Type	Interface and Description
static class	RandomProcess.SimulationResults

Method Summary

Modifier and Type	Method and Description
D	getDistribution(double evaluationPoint)
RandomProcess.SimulationResults	simulate(int numberOfRealisations, int numberOfSteps, double stepSize)

Method Detail

getDistribution

D getDistribution(double evaluationPoint)

Parameters:

evaluationPoint - How far into the future?

Returns:

The distribution for the process value at that future time.

simulate

RandomProcess.SimulationResults simulate(int numberOfRealisations,
                                         int numberOfSteps,
                                         double stepSize)

Returns:

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