Inheritance diagram for SobolBrownianGenerator:

Collaboration diagram for SobolBrownianGenerator:

Public Member Functions
	SobolBrownianGenerator (Size factors, Size steps, Ordering ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel)

Public Member Functions inherited from SobolBrownianGeneratorBase
	SobolBrownianGeneratorBase (Size factors, Size steps, Ordering ordering)

Real	nextPath () override

Real	nextStep (std::vector< Real > &) override

Size	numberOfFactors () const override

Size	numberOfSteps () const override

const std::vector< std::vector< Size > > &	orderedIndices () const

std::vector< std::vector< Real > >	transform (const std::vector< std::vector< Real > > &variates)

Public Member Functions inherited from BrownianGenerator
virtual	~BrownianGenerator ()=default

virtual Real	nextStep (std::vector< Real > &)=0

virtual Real	nextPath ()=0

virtual Size	numberOfFactors () const =0

virtual Size	numberOfSteps () const =0

Private Attributes
InverseCumulativeRsg< SobolRsg, InverseCumulativeNormal >	generator_

Additional Inherited Members
Public Types inherited from SobolBrownianGeneratorBase
enum	Ordering { Factors , Steps , Diagonal }

virtual const SobolRsg::sample_type &	nextSequence ()=0

Detailed Description

Definition at line 79 of file sobolbrowniangenerator.hpp.

Constructor & Destructor Documentation

SobolBrownianGenerator	(	Size	factors,
		Size	steps,
		Ordering	ordering,
		unsigned long	seed = `0`,
		SobolRsg::DirectionIntegers	directionIntegers = `SobolRsg::Jaeckel`
	)