Package org.apache.commons.rng.sampling.distribution

Class InverseTransformContinuousSampler

java.lang.Object

org.apache.commons.rng.sampling.distribution.SamplerBase

org.apache.commons.rng.sampling.distribution.InverseTransformContinuousSampler

All Implemented Interfaces:

ContinuousSampler

public class InverseTransformContinuousSampler
extends SamplerBase
implements ContinuousSampler

Distribution sampler that uses the inversion method. It can be used to sample any distribution that provides access to its inverse cumulative probability function.

Sampling uses UniformRandomProvider.nextDouble().

Example:

 import org.apache.commons.math3.distribution.RealDistribution;
 import org.apache.commons.math3.distribution.ChiSquaredDistribution;

 import org.apache.commons.rng.simple.RandomSource;
 import org.apache.commons.rng.sampling.distribution.ContinuousSampler;
 import org.apache.commons.rng.sampling.distribution.InverseTransformContinuousSampler;
 import org.apache.commons.rng.sampling.distribution.ContinuousInverseCumulativeProbabilityFunction;

 // Distribution to sample.
 final RealDistribution dist = new ChiSquaredDistribution(9);
 // Create the sampler.
 final ContinuousSampler chiSquareSampler =
     new InverseTransformContinuousSampler(RandomSource.create(RandomSource.MT),
                                           new ContinuousInverseCumulativeProbabilityFunction() {
                                               public double inverseCumulativeProbability(double p) {
                                                   return dist.inverseCumulativeProbability(p);
                                               }
                                           });

 // Generate random deviate.
 double random = chiSquareSampler.sample();
 

Since:

1.0

Constructor Summary

Constructors

Constructor	Description
InverseTransformContinuousSampler(UniformRandomProvider rng, ContinuousInverseCumulativeProbabilityFunction function)

Method Summary

Modifier and Type	Method	Description
double	sample()	Creates a sample.
java.lang.String	toString()

Methods inherited from class org.apache.commons.rng.sampling.distribution.SamplerBase

nextDouble, nextInt, nextInt, nextLong

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

InverseTransformContinuousSampler

public InverseTransformContinuousSampler(UniformRandomProvider rng,
                                         ContinuousInverseCumulativeProbabilityFunction function)

Parameters:

rng - Generator of uniformly distributed random numbers.

function - Inverse cumulative probability function.

Method Detail

sample

public double sample()

Creates a sample.

Specified by:

sample in interface ContinuousSampler

Returns:

a sample.

toString

public java.lang.String toString()

Overrides:

toString in class SamplerBase