Mercurial > octave
view liboctave/numeric/randgamma.cc @ 31235:b542b88ad3b6
maint: Use space between function name and '(' in sparse-xpow.cc.
* sparse-xpow.cc: Use space between function name and '(' in sparse-xpow.cc.
author | Rik <rik@octave.org> |
---|---|
date | Tue, 20 Sep 2022 14:43:56 -0700 |
parents | 796f54d4ddbf |
children | e88a07dec498 |
line wrap: on
line source
//////////////////////////////////////////////////////////////////////// // // 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 *); }