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LowDiscrepancySequence Class Reference

#include <QuasiMonteCarlo.h>

Inheritance diagram for LowDiscrepancySequence:

NX Sobol List of all members.

Detailed Description

Interface and methods to compute points, quasinormal vectors and the L2-discrepancy for low discrepancy sequences.

Michael J. Meyer

Definition at line 60 of file QuasiMonteCarlo.h.

Public Member Functions

int getDimension ()
virtual void restart ()
 LowDiscrepancySequence (int d)
virtual ~LowDiscrepancySequence ()
virtual const RealArray1DnextPoint ()=0
void writeNextPoint (RealArray1D &r)
Real l2Discrepancy (int N, const RealArray2D &r)
Real l2Discrepancy (int N, const RealArray2D &r, Real T_N)
const RealArray1DnextQuasiNormalVector ()

Protected Attributes

int dim
int index
RealArray1D x
RealArray1D z

Constructor & Destructor Documentation

LowDiscrepancySequence::LowDiscrepancySequence int    d


d dimension

virtual LowDiscrepancySequence::~LowDiscrepancySequence   [inline, virtual]


Definition at line 90 of file QuasiMonteCarlo.h.

Member Function Documentation

int LowDiscrepancySequence::getDimension   [inline]

the dimension of the sequence

Definition at line 76 of file QuasiMonteCarlo.h.

virtual void LowDiscrepancySequence::restart   [inline, virtual]

empty default implementation

Reimplemented in NX, and Sobol.

Definition at line 79 of file QuasiMonteCarlo.h.

virtual const RealArray1D& LowDiscrepancySequence::nextPoint   [pure virtual]

Returns the next point in the sequence.

Implemented in NX, and Sobol.

void LowDiscrepancySequence::writeNextPoint RealArray1D   r

Writes the next point of the sequence into the array r. Useful when discrepancy is computed.

Real LowDiscrepancySequence::l2Discrepancy int    N,
const RealArray2D   r

The -discrepancy of the first N points r[j][.], j=0,...,N-1.

N number of points.
r array of the first N points r[j][.], j=0,...,N-1.

Real LowDiscrepancySequence::l2Discrepancy int    N,
const RealArray2D   r,
Real    T_N

The -discrepancy of the first N points. This computes the -discrepancy of the first N+1 points r[j][.], j=0,...,N from the discrepancy of the first N points based on the recursion followed by the quantities .

Use this method if the -discrepancy is to be computed for all n=1,2,3,... (number of points).

N number of points.
r array of the first N points r[j][], j=0,...,N of the sequence.
T_N discrepancy .

const RealArray1D& LowDiscrepancySequence::nextQuasiNormalVector  

The transform of the next uniform point in the sequence to a quasinormal vector. Method of transform: coordinatewise inverse normal CDF.

Member Data Documentation

int LowDiscrepancySequence::dim [protected]

Definition at line 64 of file QuasiMonteCarlo.h.

int LowDiscrepancySequence::index [protected]

Definition at line 65 of file QuasiMonteCarlo.h.

RealArray1D LowDiscrepancySequence::x [protected]

Definition at line 67 of file QuasiMonteCarlo.h.

RealArray1D LowDiscrepancySequence::z [protected]

Definition at line 68 of file QuasiMonteCarlo.h.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3