Package dev.nm.stat.random.rng.univariate

Class InverseTransformSampling

java.lang.Object
dev.nm.stat.random.rng.univariate.InverseTransformSampling
All Implemented Interfaces:
RandomNumberGenerator, Seedable
Direct Known Subclasses:
InverseTransformSamplingExpRNG, InverseTransformSamplingGammaRNG, RayleighRNG, WeibullRNG
public class InverseTransformSampling extends Object implements RandomNumberGenerator
Inverse transform sampling (also known as inversion sampling, the inverse probability integral transform, the inverse transformation method, Smirnov transform, golden rule, etc.) is a basic method for pseudo-random number sampling, i.e. for generating sample numbers at random from any probability distribution given its cumulative distribution function. This basic idea is this: to generate a random variable X with a cumulative distribution function F(x) for all x, we first sample u from the uniform distribution. Then, x = F-1(u) = Q(u). This method requires that F(x) has a continuous density function, hence, strictly increasing and its inverse well defined.
See Also:

  • Constructor Details

    • InverseTransformSampling

      public InverseTransformSampling(ProbabilityDistribution distribution, RandomLongGenerator uniform)
      Construct a random number generator to sample from a distribution.
      Parameters:
      distribution - the distribution to sample from
      uniform - a uniform random number generator

    • InverseTransformSampling

      public InverseTransformSampling(ProbabilityDistribution distribution)
      Construct a random number generator to sample from a distribution.
      Parameters:
      distribution - the distribution to sample from

  • Method Details

    • seed

      public void seed(long... seeds)
      Description copied from interface: Seedable
      Seed the random number/vector/scenario generator to produce repeatable experiments.
      Specified by:
      seed in interface Seedable
      Parameters:
      seeds - the seeds

    • nextDouble

      public double nextDouble()
      Description copied from interface: RandomNumberGenerator
      Get the next random double.
      Specified by:
      nextDouble in interface RandomNumberGenerator
      Returns:
      the next random number