Mercurial > octave
view liboctave/numeric/randgamma.cc @ 23475:d691ed308237
maint: Clean up #includes in liboctave/numeric directory.
* build-aux/mk-opts.pl: Change Perl to generate "" around local include
libraries rather than <>. Include "lo-math.h" rather than <cmath>.
* CollocWt.cc, DAERTFunc.h, DASPK.cc, DASPK.h, DASRT.cc, DASRT.h, DASSL.cc,
DASSL.h, DET.h, EIG.cc, EIG.h, LSODE.cc, LSODE.h, ODE.h, ODES.cc, ODESFunc.h,
Quad.cc, aepbalance.cc, base-de.h, base-min.h, bsxfun-decl.h, bsxfun-defs.cc,
bsxfun.h, chol.cc, eigs-base.cc, fEIG.cc, fEIG.h, gepbalance.cc, gsvd.cc,
hess.cc, lo-blas-proto.h, lo-lapack-proto.h, lo-mappers.cc, lo-mappers.h,
lo-qrupdate-proto.h, lo-slatec-proto.h, lo-specfun.cc, lo-specfun.h, lu.cc,
lu.h, oct-convn.cc, oct-convn.h, oct-fftw.cc, oct-fftw.h, oct-norm.cc,
oct-rand.cc, oct-rand.h, oct-spparms.cc, oct-spparms.h, qr.cc, qr.h, qrp.cc,
randgamma.cc, randpoisson.cc, schur.cc, schur.h, sparse-chol.cc, sparse-chol.h,
sparse-dmsolve.cc, sparse-lu.cc, sparse-lu.h, sparse-qr.cc, sparse-qr.h,
svd.cc:
Rationalize #includes. Use forward declarations of just classes where
possible. Reformat some long lines < 80 characters. Reformat some comments
for readabliity.
* mx-inlines.cc: Rationalize #includes for this file in liboctave/operators
used by many in liboctave/numeric.
author | Rik <rik@octave.org> |
---|---|
date | Tue, 09 May 2017 08:46:07 -0700 |
parents | 855122b993da |
children | aabf6cd222ac |
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/* Copyright (C) 2006-2017 John W. Eaton 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 <http://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 "lo-ieee.h" #include "lo-math.h" #include "randgamma.h" #include "randmtzig.h" #define INFINITE lo_ieee_isinf #define RUNI oct_randu() #define RNOR oct_randn() #define REXP oct_rande() void oct_fill_randg (double a, octave_idx_type n, double *r) { octave_idx_type i; /* If a < 1, start by generating gamma (1+a) */ const double d = (a < 1. ? 1.+a : a) - 1./3.; const double c = 1./sqrt (9.*d); /* Handle invalid cases */ if (a <= 0 || INFINITE(a)) { for (i=0; i < n; i++) r[i] = octave::numeric_limits<double>::NaN (); return; } for (i=0; i < n; i++) { double x, xsq, v, u; restart: x = RNOR; v = (1+c*x); v *= v*v; if (v <= 0) goto restart; /* rare, so don't bother moving up */ u = RUNI; 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 (-REXP/a); } } double oct_randg (double a) { double ret; oct_fill_randg (a,1,&ret); return ret; } #undef RUNI #undef RNOR #undef REXP #define RUNI oct_float_randu() #define RNOR oct_float_randn() #define REXP oct_float_rande() void oct_fill_float_randg (float a, octave_idx_type n, float *r) { octave_idx_type i; /* If a < 1, start by generating gamma(1+a) */ const float d = (a < 1. ? 1.+a : a) - 1./3.; const float c = 1./sqrt (9.*d); /* Handle invalid cases */ if (a <= 0 || INFINITE(a)) { for (i=0; i < n; i++) r[i] = octave::numeric_limits<float>::NaN (); return; } for (i=0; i < n; i++) { float x, xsq, v, u; frestart: x = RNOR; v = (1+c*x); v *= v*v; if (v <= 0) goto frestart; /* rare, so don't bother moving up */ u = RUNI; xsq = x*x; if (u >= 1.-0.0331*xsq*xsq && std::log (u) >= 0.5*xsq + d*(1-v+std::log (v))) goto frestart; 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 (-REXP/a); } } float oct_float_randg (float a) { float ret; oct_fill_float_randg (a,1,&ret); return ret; }