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, SharedStateContinuousSampler, SharedStateSampler<SharedStateContinuousSampler>

public class InverseTransformContinuousSampler
extends SamplerBase
implements SharedStateContinuousSampler

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 =
     InverseTransformContinuousSampler.of(RandomSource.MT.create(),
                                          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
static SharedStateContinuousSampler	of(UniformRandomProvider rng, ContinuousInverseCumulativeProbabilityFunction function)	Create a new inverse-transform continuous sampler.
double	sample()	Creates a sample.
String	toString()
SharedStateContinuousSampler	withUniformRandomProvider(UniformRandomProvider rng)	Create a new instance of the sampler with the same underlying state using the given uniform random provider as the source of randomness.

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 String toString()

Overrides:

toString in class SamplerBase

withUniformRandomProvider

public SharedStateContinuousSampler withUniformRandomProvider(UniformRandomProvider rng)

Create a new instance of the sampler with the same underlying state using the given uniform random provider as the source of randomness.

Note: The new sampler will share the inverse cumulative probability function. This must be suitable for concurrent use to ensure thread safety.

Specified by:

withUniformRandomProvider in interface SharedStateSampler<SharedStateContinuousSampler>

Parameters:

rng - Generator of uniformly distributed random numbers.

Returns:

the sampler

Since:

1.3

of

public static SharedStateContinuousSampler of(UniformRandomProvider rng,
                                              ContinuousInverseCumulativeProbabilityFunction function)

Create a new inverse-transform continuous sampler.

To use the sampler to share state the function must be suitable for concurrent use.

Parameters:

rng - Generator of uniformly distributed random numbers.

function - Inverse cumulative probability function.

Returns:

the sampler

Since:

1.3

See Also:

withUniformRandomProvider(UniformRandomProvider)