java.lang.Object
- net.finmath.montecarlo.cuda.RandomVariableCuda

All Implemented Interfaces:

Serializable, RandomVariable
```
public class RandomVariableCuda
extends Object
implements RandomVariable
```
The class RandomVariableCuda represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. It is thus essentially a vector of floating point numbers - the realizations - together with a double - the time. The index of the vector represents path. The class may also be used for non-stochastic quantities which may potentially be stochastic (e.g. volatility). If only non-stochastic random variables are involved in an operation the class uses optimized code. Accesses performed exclusively through the interface RandomVariable is thread safe (and does not mutate the class). This implementation uses floats for the realizations on a Cuda GPU. There is a CPU implementation in RandomVariableFromFloatArray which give exactly the same results for all methods (checked by unit test).

Version:

2.1

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class Description

static class RandomVariableCuda.DevicePointerReference
An object referencing a cuda device pointer.

Field Summary

Fields
Modifier and Type Field Description

static int blockSizeX

static jcuda.driver.CUcontext context

static jcuda.driver.CUdevice device

static jcuda.driver.CUmodule module

Constructor Summary

Constructors
Constructor	Description
`RandomVariableCuda(double value)`	Create a non stochastic random variable, i.e. a constant.
`RandomVariableCuda(double time, double value)`	Create a non stochastic random variable, i.e. a constant.
`RandomVariableCuda(double time, double[] realisations)`	Create a stochastic random variable.
`RandomVariableCuda(double time, double value, int typePriority)`	Create a non stochastic random variable, i.e. a constant.
`RandomVariableCuda(double time, float[] realisations)`	Create a stochastic random variable.
`RandomVariableCuda(double time, float[] realisations, int typePriority)`	Create a stochastic random variable.
`RandomVariableCuda(float[] realisations)`	Create a stochastic random variable.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`RandomVariable`	`abs()`
`RandomVariable`	`accrue(RandomVariable rate, double periodLength)`
`RandomVariable`	`add(double value)`
`RandomVariable`	`add(RandomVariable randomVariable)`
`RandomVariable`	`addProduct(RandomVariable factor1, double factor2)`
`RandomVariable`	`addProduct(RandomVariable factor1, RandomVariable factor2)`
`RandomVariable`	`addRatio(RandomVariable numerator, RandomVariable denominator)`
`RandomVariable`	`apply(DoubleBinaryOperator operator, RandomVariable argument)`
`RandomVariable`	`apply(DoubleUnaryOperator function)`
`RandomVariable`	`apply(DoubleTernaryOperator operator, RandomVariable argument1, RandomVariable argument2)`
`RandomVariable`	`average()`
`RandomVariable`	`bus(double value)`
`RandomVariable`	`bus(RandomVariable randomVariable)`
`RandomVariable`	`cache()`
`RandomVariable`	`cap(double cap)`
`RandomVariable`	`cap(RandomVariable randomVariable)`
`RandomVariable`	`choose(RandomVariable valueIfTriggerNonNegative, RandomVariable valueIfTriggerNegative)`
`static void`	`clean()`
`RandomVariable`	`cos()`
`RandomVariable`	`discount(RandomVariable rate, double periodLength)`
`RandomVariable`	`div(double value)`
`RandomVariable`	`div(RandomVariable randomVariable)`
`Double`	`doubleValue()`
`boolean`	`equals(RandomVariable randomVariable)`
`RandomVariable`	`exp()`
`RandomVariable`	`floor(double floor)`
`RandomVariable`	`floor(RandomVariable randomVariable)`
`double`	`get(int pathOrState)`
`double`	`getAverage()`
`double`	`getAverage(RandomVariable probabilities)`
`static RandomVariableCuda.DevicePointerReference`	`getDevicePointer(long size)`
`double`	`getFiltrationTime()`
`double[]`	`getHistogram(double[] intervalPoints)`
`double[][]`	`getHistogram(int numberOfPoints, double standardDeviations)`
`double`	`getMax()`
`double`	`getMin()`
`IntToDoubleFunction`	`getOperator()`
`double`	`getQuantile(double quantile)`
`double`	`getQuantile(double quantile, RandomVariable probabilities)`
`double`	`getQuantileExpectation(double quantileStart, double quantileEnd)`
`double[]`	`getRealizations()`
`DoubleStream`	`getRealizationsStream()`
`double`	`getSampleVariance()`
`double`	`getStandardDeviation()`
`double`	`getStandardDeviation(RandomVariable probabilities)`
`double`	`getStandardError()`
`double`	`getStandardError(RandomVariable probabilities)`
`int`	`getTypePriority()`
`double`	`getVariance()`
`double`	`getVariance(RandomVariable probabilities)`
`RandomVariable`	`invert()`
`boolean`	`isDeterministic()`
`RandomVariable`	`isNaN()`
`RandomVariable`	`log()`
`RandomVariable`	`mult(double value)`
`RandomVariable`	`mult(RandomVariable randomVariable)`
`static RandomVariableCuda`	`of(double time, double value)`	Create a non stochastic random variable, i.e. a constant.
`static RandomVariableCuda`	`of(double time, RandomVariableCuda.DevicePointerReference realizations, long size)`	Create a `RandomVariableCuda`.
`static RandomVariableCuda`	`of(double time, RandomVariableCuda.DevicePointerReference realizations, long size, int typePriority)`	Create a `RandomVariableCuda`.
`RandomVariable`	`pow(double exponent)`
`static void`	`purge()`
`RandomVariable`	`sin()`
`int`	`size()`
`RandomVariable`	`sqrt()`
`RandomVariable`	`squared()`
`RandomVariable`	`sub(double value)`
`RandomVariable`	`sub(RandomVariable randomVariable)`
`RandomVariable`	`subRatio(RandomVariable numerator, RandomVariable denominator)`
`RandomVariable`	`vid(double value)`
`RandomVariable`	`vid(RandomVariable randomVariable)`

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.stochastic.RandomVariable
addSumProduct, addSumProduct, expm1, getConditionalExpectation, getValues

- Field Detail
  - blockSizeX
```
public static final int blockSizeX
```
  - device
```
public static final jcuda.driver.CUdevice device
```
  - context
```
public static final jcuda.driver.CUcontext context
```
  - module
```
public static final jcuda.driver.CUmodule module
```
- Constructor Detail
  - RandomVariableCuda
```
public RandomVariableCuda(double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    value - the value, a constant.
  - RandomVariableCuda
```
public RandomVariableCuda(double time,
                          double value,
                          int typePriority)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    value - the value, a constant.
    
    typePriority - The priority of this type in construction of result types. See "operator type priority" for details.
  - RandomVariableCuda
```
public RandomVariableCuda(double time,
                          float[] realisations,
                          int typePriority)
```
    Create a stochastic random variable.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realisations - the vector of realizations.
    
    typePriority - The priority of this type in construction of result types. See "operator type priority" for details.
  - RandomVariableCuda
```
public RandomVariableCuda(double time,
                          double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    value - the value, a constant.
  - RandomVariableCuda
```
public RandomVariableCuda(double time,
                          float[] realisations)
```
    Create a stochastic random variable.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realisations - the vector of realizations.
  - RandomVariableCuda
```
public RandomVariableCuda(double time,
                          double[] realisations)
```
    Create a stochastic random variable.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realisations - the vector of realizations.
  - RandomVariableCuda
```
public RandomVariableCuda(float[] realisations)
```
    Create a stochastic random variable.
    
    Parameters:
    
    realisations - the vector of realizations.
- Method Detail
  - of
```
public static RandomVariableCuda of(double time,
                                    RandomVariableCuda.DevicePointerReference realizations,
                                    long size,
                                    int typePriority)
```
    Create a RandomVariableCuda.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realizations - A DevicePointerReference referencing a CUdeviceptr with the given size. Use getDevicePointer(long) to create one.
    
    size - The size of the vector associated with DevicePointerReference.
    
    typePriority - The priority of this type in construction of result types. See "operator type priority" for details.
    
    Returns:
    
    A new instance of RandomVariableCuda wrapping the given DevicePointerReference.
  - of
```
public static RandomVariableCuda of(double time,
                                    RandomVariableCuda.DevicePointerReference realizations,
                                    long size)
```
    Create a RandomVariableCuda.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    realizations - A DevicePointerReference referencing a CUdeviceptr with the given size. Use getDevicePointer(long) to create one.
    
    size - The size of the vector associated with DevicePointerReference.
    
    Returns:
    
    A new instance of RandomVariableCuda wrapping the given DevicePointerReference.
  - of
```
public static RandomVariableCuda of(double time,
                                    double value)
```
    Create a non stochastic random variable, i.e. a constant.
    
    Parameters:
    
    time - the filtration time, set to 0.0 if not used.
    
    value - the value, a constant.
    
    Returns:
    
    A new instance of RandomVariableCuda with a constant value.
  - getDevicePointer
```
public static RandomVariableCuda.DevicePointerReference getDevicePointer(long size)
```
  - clean
```
public static void clean()
```
  - purge
```
public static void purge()
```
  - equals
```
public boolean equals(RandomVariable randomVariable)
```
    Specified by:
    
    equals in interface RandomVariable
  - getFiltrationTime
```
public double getFiltrationTime()
```
    Specified by:
    
    getFiltrationTime in interface RandomVariable
  - getTypePriority
```
public int getTypePriority()
```
    Specified by:
    
    getTypePriority in interface RandomVariable
  - get
```
public double get(int pathOrState)
```
    Specified by:
    
    get in interface RandomVariable
  - size
```
public int size()
```
    Specified by:
    
    size in interface RandomVariable
  - getMin
```
public double getMin()
```
    Specified by:
    
    getMin in interface RandomVariable
  - getMax
```
public double getMax()
```
    Specified by:
    
    getMax in interface RandomVariable
  - getAverage
```
public double getAverage()
```
    Specified by:
    
    getAverage in interface RandomVariable
  - getAverage
```
public double getAverage(RandomVariable probabilities)
```
    Specified by:
    
    getAverage in interface RandomVariable
  - getVariance
```
public double getVariance()
```
    Specified by:
    
    getVariance in interface RandomVariable
  - getVariance
```
public double getVariance(RandomVariable probabilities)
```
    Specified by:
    
    getVariance in interface RandomVariable
  - getSampleVariance
```
public double getSampleVariance()
```
    Specified by:
    
    getSampleVariance in interface RandomVariable
  - getStandardDeviation
```
public double getStandardDeviation()
```
    Specified by:
    
    getStandardDeviation in interface RandomVariable
  - getStandardDeviation
```
public double getStandardDeviation(RandomVariable probabilities)
```
    Specified by:
    
    getStandardDeviation in interface RandomVariable
  - getStandardError
```
public double getStandardError()
```
    Specified by:
    
    getStandardError in interface RandomVariable
  - getStandardError
```
public double getStandardError(RandomVariable probabilities)
```
    Specified by:
    
    getStandardError in interface RandomVariable
  - getQuantile
```
public double getQuantile(double quantile)
```
    Specified by:
    
    getQuantile in interface RandomVariable
  - getQuantile
```
public double getQuantile(double quantile,
                          RandomVariable probabilities)
```
    Specified by:
    
    getQuantile in interface RandomVariable
  - getQuantileExpectation
```
public double getQuantileExpectation(double quantileStart,
                                     double quantileEnd)
```
    Specified by:
    
    getQuantileExpectation in interface RandomVariable
  - getHistogram
```
public double[] getHistogram(double[] intervalPoints)
```
    Specified by:
    
    getHistogram in interface RandomVariable
  - getHistogram
```
public double[][] getHistogram(int numberOfPoints,
                               double standardDeviations)
```
    Specified by:
    
    getHistogram in interface RandomVariable
  - isDeterministic
```
public boolean isDeterministic()
```
    Specified by:
    
    isDeterministic in interface RandomVariable
  - cache
```
public RandomVariable cache()
```
    Specified by:
    
    cache in interface RandomVariable
  - getRealizations
```
public double[] getRealizations()
```
    Specified by:
    
    getRealizations in interface RandomVariable
  - doubleValue
```
public Double doubleValue()
```
    Specified by:
    
    doubleValue in interface RandomVariable
  - getOperator
```
public IntToDoubleFunction getOperator()
```
    Specified by:
    
    getOperator in interface RandomVariable
  - getRealizationsStream
```
public DoubleStream getRealizationsStream()
```
    Specified by:
    
    getRealizationsStream in interface RandomVariable
  - apply
```
public RandomVariable apply(DoubleUnaryOperator function)
```
    Specified by:
    
    apply in interface RandomVariable
  - apply
```
public RandomVariable apply(DoubleBinaryOperator operator,
                            RandomVariable argument)
```
    Specified by:
    
    apply in interface RandomVariable
  - apply
```
public RandomVariable apply(DoubleTernaryOperator operator,
                            RandomVariable argument1,
                            RandomVariable argument2)
```
    Specified by:
    
    apply in interface RandomVariable
  - cap
```
public RandomVariable cap(double cap)
```
    Specified by:
    
    cap in interface RandomVariable
  - floor
```
public RandomVariable floor(double floor)
```
    Specified by:
    
    floor in interface RandomVariable
  - add
```
public RandomVariable add(double value)
```
    Specified by:
    
    add in interface RandomVariable
  - sub
```
public RandomVariable sub(double value)
```
    Specified by:
    
    sub in interface RandomVariable
  - bus
```
public RandomVariable bus(double value)
```
  - mult
```
public RandomVariable mult(double value)
```
    Specified by:
    
    mult in interface RandomVariable
  - div
```
public RandomVariable div(double value)
```
    Specified by:
    
    div in interface RandomVariable
  - vid
```
public RandomVariable vid(double value)
```
  - pow
```
public RandomVariable pow(double exponent)
```
    Specified by:
    
    pow in interface RandomVariable
  - average
```
public RandomVariable average()
```
    Specified by:
    
    average in interface RandomVariable
  - squared
```
public RandomVariable squared()
```
    Specified by:
    
    squared in interface RandomVariable
  - sqrt
```
public RandomVariable sqrt()
```
    Specified by:
    
    sqrt in interface RandomVariable
  - invert
```
public RandomVariable invert()
```
    Specified by:
    
    invert in interface RandomVariable
  - abs
```
public RandomVariable abs()
```
    Specified by:
    
    abs in interface RandomVariable
  - exp
```
public RandomVariable exp()
```
    Specified by:
    
    exp in interface RandomVariable
  - log
```
public RandomVariable log()
```
    Specified by:
    
    log in interface RandomVariable
  - sin
```
public RandomVariable sin()
```
    Specified by:
    
    sin in interface RandomVariable
  - cos
```
public RandomVariable cos()
```
    Specified by:
    
    cos in interface RandomVariable
  - add
```
public RandomVariable add(RandomVariable randomVariable)
```
    Specified by:
    
    add in interface RandomVariable
  - sub
```
public RandomVariable sub(RandomVariable randomVariable)
```
    Specified by:
    
    sub in interface RandomVariable
  - bus
```
public RandomVariable bus(RandomVariable randomVariable)
```
    Specified by:
    
    bus in interface RandomVariable
  - mult
```
public RandomVariable mult(RandomVariable randomVariable)
```
    Specified by:
    
    mult in interface RandomVariable
  - div
```
public RandomVariable div(RandomVariable randomVariable)
```
    Specified by:
    
    div in interface RandomVariable
  - vid
```
public RandomVariable vid(RandomVariable randomVariable)
```
    Specified by:
    
    vid in interface RandomVariable
  - cap
```
public RandomVariable cap(RandomVariable randomVariable)
```
    Specified by:
    
    cap in interface RandomVariable
  - floor
```
public RandomVariable floor(RandomVariable randomVariable)
```
    Specified by:
    
    floor in interface RandomVariable
  - accrue
```
public RandomVariable accrue(RandomVariable rate,
                             double periodLength)
```
    Specified by:
    
    accrue in interface RandomVariable
  - discount
```
public RandomVariable discount(RandomVariable rate,
                               double periodLength)
```
    Specified by:
    
    discount in interface RandomVariable
  - choose
```
public RandomVariable choose(RandomVariable valueIfTriggerNonNegative,
                             RandomVariable valueIfTriggerNegative)
```
    Specified by:
    
    choose in interface RandomVariable
  - addProduct
```
public RandomVariable addProduct(RandomVariable factor1,
                                 double factor2)
```
    Specified by:
    
    addProduct in interface RandomVariable
  - addProduct
```
public RandomVariable addProduct(RandomVariable factor1,
                                 RandomVariable factor2)
```
    Specified by:
    
    addProduct in interface RandomVariable
  - addRatio
```
public RandomVariable addRatio(RandomVariable numerator,
                               RandomVariable denominator)
```
    Specified by:
    
    addRatio in interface RandomVariable
  - subRatio
```
public RandomVariable subRatio(RandomVariable numerator,
                               RandomVariable denominator)
```
    Specified by:
    
    subRatio in interface RandomVariable
  - isNaN
```
public RandomVariable isNaN()
```
    Specified by:
    
    isNaN in interface RandomVariable

Modifier and Type	Field	Description
`static int`	`blockSizeX`
`static jcuda.driver.CUcontext`	`context`
`static jcuda.driver.CUdevice`	`device`
`static jcuda.driver.CUmodule`	`module`

Class RandomVariableCuda

Nested Class Summary

Field Summary

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface net.finmath.stochastic.RandomVariable

Field Detail

blockSizeX

device

context

module

Constructor Detail

RandomVariableCuda

RandomVariableCuda

RandomVariableCuda

RandomVariableCuda

RandomVariableCuda

RandomVariableCuda

RandomVariableCuda

Method Detail

of

of

of

getDevicePointer

clean

purge

equals

getFiltrationTime

getTypePriority

get

size

getMin

getMax

getAverage

getAverage

getVariance

getVariance

getSampleVariance

getStandardDeviation

getStandardDeviation

getStandardError

getStandardError

getQuantile

getQuantile

getQuantileExpectation

getHistogram

getHistogram

isDeterministic

cache

getRealizations

doubleValue

getOperator

getRealizationsStream

apply

apply

apply

cap

floor

add

sub

bus

mult

div

vid

pow

average

squared

sqrt

invert

abs

exp

log

sin

cos

add

sub

bus

mult

div