Package jline.api.mc

Class Ctmc_foxglynn

java.lang.Object

jline.api.mc.Ctmc_foxglynn

public final class Ctmc_foxglynn
extends Object

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	Ctmc_foxglynn.FoxGlynnWeights	Poisson weights on the Fox-Glynn truncation window.

Method Summary

Modifier and Type	Method	Description
static Matrix	ctmc_foxglynn(Matrix pi0, Matrix Q, double t)	Return the transient probability distribution of the CTMC by Fox-Glynn uniformization.
static Matrix	ctmc_foxglynn(Matrix pi0, Matrix Q, double t, double tol, int maxiter)	Return the transient probability distribution of the CTMC by Fox-Glynn uniformization.
static Ctmc_foxglynn.FoxGlynnWeights	ctmc_foxglynn_weights(double lambda, double tol, int maxiter)	Return the Fox-Glynn truncation window and normalized Poisson weights for a Poisson(lambda) mixing distribution at tail-mass tolerance tol.

Methods inherited from class java.lang.Object

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

Method Details

ctmc_foxglynn

public static Matrix ctmc_foxglynn(Matrix pi0,
 Matrix Q,
 double t)

Return the transient probability distribution of the CTMC by Fox-Glynn uniformization.

Parameters:

pi0 - Initial state of the CTMC

Q - Infinitesimal generator of the CTMC

t - Transient analysis period boundary [0,t]

Returns:

Transient probability vector at time t

ctmc_foxglynn

public static Matrix ctmc_foxglynn(Matrix pi0,
 Matrix Q,
 double t,
 double tol,
 int maxiter)

Return the transient probability distribution of the CTMC by Fox-Glynn uniformization.

Parameters:

pi0 - Initial state of the CTMC

Q - Infinitesimal generator of the CTMC

t - Transient analysis period boundary [0,t]

tol - Poisson tail-mass truncation tolerance

maxiter - Maximum truncation depth; pass a nonpositive value to let the Fox-Glynn right truncation point size it

Returns:

Transient probability vector at time t

ctmc_foxglynn_weights

public static Ctmc_foxglynn.FoxGlynnWeights ctmc_foxglynn_weights(double lambda,
 double tol,
 int maxiter)

Return the Fox-Glynn truncation window and normalized Poisson weights for a Poisson(lambda) mixing distribution at tail-mass tolerance tol.

Parameters:

lambda - Poisson rate, that is the uniformization constant times the horizon

tol - Poisson tail-mass truncation tolerance

maxiter - Cap on the right truncation point; nonpositive to leave it uncapped

Returns:

Truncation points and weights