Mercurial > octave
view liboctave/numeric/randgamma.cc @ 30564:796f54d4ddbf stable
update Octave Project Developers copyright for the new year
In files that have the "Octave Project Developers" copyright notice,
update for 2021.
In all .txi and .texi files except gpl.txi and gpl.texi in the
doc/liboctave and doc/interpreter directories, change the copyright
to "Octave Project Developers", the same as used for other source
files. Update copyright notices for 2022 (not done since 2019). For
gpl.txi and gpl.texi, change the copyright notice to be "Free Software
Foundation, Inc." and leave the date at 2007 only because this file
only contains the text of the GPL, not anything created by the Octave
Project Developers.
Add Paul Thomas to contributors.in.
author | John W. Eaton <jwe@octave.org> |
---|---|
date | Tue, 28 Dec 2021 18:22:40 -0500 |
parents | 7854d5752dd2 |
children | e88a07dec498 |
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//////////////////////////////////////////////////////////////////////// // // Copyright (C) 2006-2022 The Octave Project Developers // // See the file COPYRIGHT.md in the top-level directory of this // distribution or <https://octave.org/copyright/>. // // This file is part of Octave. // // Octave is free software: you can redistribute it and/or modify it // under the terms of the GNU General Public License as published by // the Free Software Foundation, either version 3 of the License, or // (at your option) any later version. // // Octave is distributed in the hope that it will be useful, but // WITHOUT ANY WARRANTY; without even the implied warranty of // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the // GNU General Public License for more details. // // You should have received a copy of the GNU General Public License // along with Octave; see the file COPYING. If not, see // <https://www.gnu.org/licenses/>. // //////////////////////////////////////////////////////////////////////// /* Original version written by Paul Kienzle distributed as free software in the in the public domain. */ /* double randg (a) void fill_randg (a,n,x) Generate a series of standard gamma distributions. See: Marsaglia G and Tsang W (2000), "A simple method for generating gamma variables", ACM Transactions on Mathematical Software 26(3) 363-372 Needs the following defines: * NAN: value to return for Not-A-Number * RUNI: uniform generator on (0,1) * RNOR: normal generator * REXP: exponential generator, or -log(RUNI) if one isn't available * INFINITE: function to test whether a value is infinite Test using: mean = a variance = a skewness = 2/sqrt(a) kurtosis = 3 + 6/sqrt(a) Note that randg can be used to generate many distributions: gamma(a,b) for a>0, b>0 (from R) r = b*randg(a) beta(a,b) for a>0, b>0 r1 = randg(a,1) r = r1 / (r1 + randg(b,1)) Erlang(a,n) r = a*randg(n) chisq(df) for df>0 r = 2*randg(df/2) t(df) for 0<df<inf (use randn if df is infinite) r = randn () / sqrt(2*randg(df/2)/df) F(n1,n2) for 0<n1, 0<n2 r1 = 2*randg(n1/2)/n1 or 1 if n1 is infinite r2 = 2*randg(n2/2)/n2 or 1 if n2 is infinite r = r1 / r2 negative binonial (n, p) for n>0, 0<p<=1 r = randp((1-p)/p * randg(n)) (from R, citing Devroye(1986), Non-Uniform Random Variate Generation) non-central chisq(df,L), for df>=0 and L>0 (use chisq if L=0) r = randp(L/2) r(r>0) = 2*randg(r(r>0)) r(df>0) += 2*randg(df(df>0)/2) (from R, citing formula 29.5b-c in Johnson, Kotz, Balkrishnan(1995)) Dirichlet(a1,...,ak) for ai > 0 r = (randg(a1),...,randg(ak)) r = r / sum(r) (from GSL, citing Law & Kelton(1991), Simulation Modeling and Analysis) */ #if defined (HAVE_CONFIG_H) # include "config.h" #endif #include <cmath> #include "lo-ieee.h" #include "randgamma.h" #include "randmtzig.h" namespace octave { template <typename T> void rand_gamma (T a, octave_idx_type n, T *r) { octave_idx_type i; /* If a < 1, start by generating gamma (1+a) */ const T d = (a < 1. ? 1.+a : a) - 1./3.; const T c = 1./std::sqrt (9.*d); /* Handle invalid cases */ if (a <= 0 || lo_ieee_isinf (a)) { for (i=0; i < n; i++) r[i] = numeric_limits<T>::NaN (); return; } for (i=0; i < n; i++) { T x, xsq, v, u; restart: x = rand_normal<T> (); v = (1+c*x); v *= (v*v); if (v <= 0) goto restart; /* rare, so don't bother moving up */ u = rand_uniform<T> (); xsq = x*x; if (u >= 1.-0.0331*xsq*xsq && std::log (u) >= 0.5*xsq + d*(1-v+std::log (v))) goto restart; r[i] = d*v; } if (a < 1) { /* Use gamma(a) = gamma(1+a)*U^(1/a) */ /* Given REXP = -log(U) then U^(1/a) = exp(-REXP/a) */ for (i = 0; i < n; i++) r[i] *= exp (-rand_exponential<T> () / a); } } template OCTAVE_API void rand_gamma (double, octave_idx_type, double *); template OCTAVE_API void rand_gamma (float, octave_idx_type, float *); }