Mercurial > hg > octave-lyh
annotate liboctave/randgamma.c @ 14846:460a3c6d8bf1
maint: Use Octave coding convention for cuddled parenthis in function calls with empty argument lists.
Example: func() => func ()
* dynamic.txi, func.txi, oop.txi, var.txi, embedded.cc, fortdemo.cc,
funcdemo.cc, paramdemo.cc, stringdemo.cc, unwinddemo.cc, Array.cc, Array.h,
CColVector.cc, CDiagMatrix.h, CMatrix.cc, CNDArray.cc, CRowVector.cc,
CSparse.cc, CmplxGEPBAL.cc, EIG.cc, MSparse.cc, MatrixType.cc,
Sparse-op-defs.h, Sparse-perm-op-defs.h, Sparse.cc, Sparse.h,
SparseCmplxCHOL.cc, SparseCmplxCHOL.h, SparseCmplxLU.cc, SparseCmplxQR.cc,
SparseCmplxQR.h, SparseQR.cc, SparseQR.h, SparsedbleCHOL.cc, SparsedbleCHOL.h,
SparsedbleLU.cc, SparsedbleLU.h, base-lu.cc, cmd-hist.cc, dColVector.cc,
dDiagMatrix.h, dMatrix.cc, dNDArray.cc, dRowVector.cc, dSparse.cc, dbleCHOL.cc,
dbleGEPBAL.cc, dim-vector.cc, eigs-base.cc, f2c-main.c, fCColVector.cc,
fCDiagMatrix.h, fCMatrix.cc, fCNDArray.cc, fCRowVector.cc, fCmplxGEPBAL.cc,
fColVector.cc, fDiagMatrix.h, fEIG.cc, fMatrix.cc, fNDArray.cc, fRowVector.cc,
file-ops.cc, file-stat.cc, floatCHOL.cc, floatGEPBAL.cc, idx-vector.h,
lo-specfun.cc, lo-sysdep.cc, mx-inlines.cc, oct-binmap.h, oct-convn.cc,
oct-md5.cc, oct-mem.h, oct-rand.cc, oct-syscalls.cc, randgamma.c, randmtzig.c,
sparse-base-chol.cc, sparse-base-chol.h, sparse-base-lu.cc, sparse-dmsolve.cc,
tempname.c, curl.m, divergence.m, randi.m, dlmwrite.m, edit.m, getappdata.m,
what.m, getarchdir.m, install.m, installed_packages.m, repackage.m,
unload_packages.m, colorbar.m, figure.m, isosurface.m, legend.m, loglog.m,
plot.m, plot3.m, plotyy.m, polar.m, __errplot__.m, __ghostscript__.m,
__marching_cube__.m, __plt__.m, __scatter__.m, semilogx.m, semilogy.m,
trimesh.m, trisurf.m, demo.m, test.m, datetick.m, __delaunayn__.cc,
__dsearchn__.cc, __fltk_uigetfile__.cc, __glpk__.cc, __init_fltk__.cc,
__lin_interpn__.cc, __magick_read__.cc, __pchip_deriv__.cc, balance.cc,
bsxfun.cc, ccolamd.cc, cellfun.cc, chol.cc, daspk.cc, dasrt.cc, dassl.cc,
dmperm.cc, eig.cc, eigs.cc, fftw.cc, filter.cc, find.cc, kron.cc, lookup.cc,
lsode.cc, matrix_type.cc, md5sum.cc, mgorth.cc, qr.cc, quad.cc, rand.cc,
regexp.cc, symbfact.cc, tril.cc, urlwrite.cc, op-bm-bm.cc, op-cdm-cdm.cc,
op-cell.cc, op-chm.cc, op-cm-cm.cc, op-cm-scm.cc, op-cm-sm.cc, op-cs-scm.cc,
op-cs-sm.cc, op-dm-dm.cc, op-dm-scm.cc, op-dm-sm.cc, op-fcdm-fcdm.cc,
op-fcm-fcm.cc, op-fdm-fdm.cc, op-fm-fm.cc, op-int.h, op-m-m.cc, op-m-scm.cc,
op-m-sm.cc, op-pm-pm.cc, op-pm-scm.cc, op-pm-sm.cc, op-range.cc, op-s-scm.cc,
op-s-sm.cc, op-sbm-sbm.cc, op-scm-cm.cc, op-scm-cs.cc, op-scm-m.cc,
op-scm-s.cc, op-scm-scm.cc, op-scm-sm.cc, op-sm-cm.cc, op-sm-cs.cc, op-sm-m.cc,
op-sm-s.cc, op-sm-scm.cc, op-sm-sm.cc, op-str-str.cc, op-struct.cc, bitfcns.cc,
data.cc, debug.cc, dynamic-ld.cc, error.cc, gl-render.cc, graphics.cc,
graphics.in.h, load-path.cc, ls-hdf5.cc, ls-mat5.cc, ls-mat5.h,
ls-oct-ascii.cc, ls-oct-ascii.h, mex.cc, mk-errno-list, oct-map.cc, oct-obj.h,
oct-parse.yy, octave-config.in.cc, ov-base-int.cc, ov-base-mat.cc, ov-base.cc,
ov-bool-mat.cc, ov-bool-sparse.cc, ov-bool.cc, ov-cell.cc, ov-class.cc,
ov-class.h, ov-cx-mat.cc, ov-cx-sparse.cc, ov-fcn-handle.cc, ov-flt-cx-mat.cc,
ov-flt-re-mat.cc, ov-intx.h, ov-range.h, ov-re-mat.cc, ov-re-sparse.cc,
ov-str-mat.cc, ov-struct.cc, ov-usr-fcn.h, ov.h, pr-output.cc, pt-id.cc,
pt-id.h, pt-mat.cc, pt-select.cc, sparse.cc, symtab.cc, symtab.h, syscalls.cc,
toplev.cc, txt-eng-ft.cc, variables.cc, zfstream.cc, zfstream.h, Dork.m,
getStash.m, myStash.m, Gork.m, Pork.m, myStash.m, getStash.m, myStash.m,
getStash.m, myStash.m, fntests.m: Use Octave coding convention for
cuddled parenthis in function calls with empty argument lists.
| author | Rik <octave@nomad.inbox5.com> |
|---|---|
| date | Sun, 08 Jul 2012 11:28:50 -0700 |
| parents | 43db83eff9db |
| children | 3d8ace26c5b4 |
| rev | line source |
|---|---|
| 7019 | 1 /* |
| 2 | |
|
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3 Copyright (C) 2006-2012 John W. Eaton |
| 7019 | 4 |
| 5 This file is part of Octave. | |
| 6 | |
| 7 Octave is free software; you can redistribute it and/or modify it | |
| 8 under the terms of the GNU General Public License as published by the | |
| 9 Free Software Foundation; either version 3 of the License, or (at your | |
| 10 option) any later version. | |
| 11 | |
| 12 Octave is distributed in the hope that it will be useful, but WITHOUT | |
| 13 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or | |
| 14 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License | |
| 15 for more details. | |
| 16 | |
| 17 You should have received a copy of the GNU General Public License | |
| 18 along with Octave; see the file COPYING. If not, see | |
| 19 <http://www.gnu.org/licenses/>. | |
| 20 | |
| 21 */ | |
| 22 | |
| 23 /* Original version written by Paul Kienzle distributed as free | |
| 24 software in the in the public domain. */ | |
| 5742 | 25 |
| 26 /* | |
| 27 | |
|
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28 double randg(a) |
| 5742 | 29 void fill_randg(a,n,x) |
| 30 | |
| 31 Generate a series of standard gamma distributions. | |
| 32 | |
| 33 See: Marsaglia G and Tsang W (2000), "A simple method for generating | |
| 34 gamma variables", ACM Transactions on Mathematical Software 26(3) 363-372 | |
| 35 | |
|
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36 Needs the following defines: |
| 5742 | 37 * NAN: value to return for Not-A-Number |
| 38 * RUNI: uniform generator on (0,1) | |
| 39 * RNOR: normal generator | |
| 40 * REXP: exponential generator, or -log(RUNI) if one isn't available | |
| 41 * INFINITE: function to test whether a value is infinite | |
| 42 | |
| 43 Test using: | |
| 44 mean = a | |
| 45 variance = a | |
| 46 skewness = 2/sqrt(a) | |
| 47 kurtosis = 3 + 6/sqrt(a) | |
| 48 | |
| 49 Note that randg can be used to generate many distributions: | |
| 50 | |
| 51 gamma(a,b) for a>0, b>0 (from R) | |
| 52 r = b*randg(a) | |
| 53 beta(a,b) for a>0, b>0 | |
| 54 r1 = randg(a,1) | |
| 55 r = r1 / (r1 + randg(b,1)) | |
| 56 Erlang(a,n) | |
| 57 r = a*randg(n) | |
| 58 chisq(df) for df>0 | |
| 59 r = 2*randg(df/2) | |
| 60 t(df) for 0<df<inf (use randn if df is infinite) | |
|
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61 r = randn () / sqrt(2*randg(df/2)/df) |
| 5742 | 62 F(n1,n2) for 0<n1, 0<n2 |
| 63 r1 = 2*randg(n1/2)/n1 or 1 if n1 is infinite | |
| 64 r2 = 2*randg(n2/2)/n2 or 1 if n2 is infinite | |
| 65 r = r1 / r2 | |
| 66 negative binonial (n, p) for n>0, 0<p<=1 | |
| 67 r = randp((1-p)/p * randg(n)) | |
| 68 (from R, citing Devroye(1986), Non-Uniform Random Variate Generation) | |
| 69 non-central chisq(df,L), for df>=0 and L>0 (use chisq if L=0) | |
| 70 r = randp(L/2) | |
| 71 r(r>0) = 2*randg(r(r>0)) | |
| 72 r(df>0) += 2*randg(df(df>0)/2) | |
| 73 (from R, citing formula 29.5b-c in Johnson, Kotz, Balkrishnan(1995)) | |
| 74 Dirichlet(a1,...,ak) for ai > 0 | |
| 75 r = (randg(a1),...,randg(ak)) | |
| 76 r = r / sum(r) | |
| 77 (from GSL, citing Law & Kelton(1991), Simulation Modeling and Analysis) | |
| 78 */ | |
| 79 | |
| 80 #if defined (HAVE_CONFIG_H) | |
| 81 #include <config.h> | |
| 82 #endif | |
| 83 | |
| 84 #include <stdio.h> | |
| 85 | |
| 86 #include "lo-ieee.h" | |
| 7231 | 87 #include "lo-math.h" |
| 5742 | 88 #include "randmtzig.h" |
| 89 #include "randgamma.h" | |
| 90 | |
| 91 #undef NAN | |
| 92 #define NAN octave_NaN | |
| 93 #define INFINITE lo_ieee_isinf | |
| 94 #define RUNI oct_randu() | |
| 95 #define RNOR oct_randn() | |
| 96 #define REXP oct_rande() | |
| 97 | |
|
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98 void |
| 5742 | 99 oct_fill_randg (double a, octave_idx_type n, double *r) |
| 100 { | |
| 101 octave_idx_type i; | |
| 102 /* If a < 1, start by generating gamma(1+a) */ | |
| 103 const double d = (a < 1. ? 1.+a : a) - 1./3.; | |
| 104 const double c = 1./sqrt(9.*d); | |
| 105 | |
| 106 /* Handle invalid cases */ | |
|
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107 if (a <= 0 || INFINITE(a)) |
| 5742 | 108 { |
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109 for (i=0; i < n; i++) |
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110 r[i] = NAN; |
| 5742 | 111 return; |
| 112 } | |
| 113 | |
|
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114 for (i=0; i < n; i++) |
| 5742 | 115 { |
| 116 double x, xsq, v, u; | |
| 117 restart: | |
| 118 x = RNOR; | |
| 119 v = (1+c*x); | |
| 120 v *= v*v; | |
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121 if (v <= 0) |
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122 goto restart; /* rare, so don't bother moving up */ |
| 5742 | 123 u = RUNI; |
| 124 xsq = x*x; | |
| 125 if (u >= 1.-0.0331*xsq*xsq && log(u) >= 0.5*xsq + d*(1-v+log(v))) | |
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126 goto restart; |
| 5742 | 127 r[i] = d*v; |
| 128 } | |
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129 if (a < 1) |
| 5742 | 130 { /* Use gamma(a) = gamma(1+a)*U^(1/a) */ |
| 131 /* Given REXP = -log(U) then U^(1/a) = exp(-REXP/a) */ | |
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132 for (i = 0; i < n; i++) |
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133 r[i] *= exp(-REXP/a); |
| 5742 | 134 } |
| 135 } | |
| 136 | |
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137 double |
| 5742 | 138 oct_randg (double a) |
| 139 { | |
| 140 double ret; | |
| 141 oct_fill_randg(a,1,&ret); | |
| 142 return ret; | |
| 143 } | |
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144 |
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145 #undef NAN |
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146 #undef RUNI |
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147 #undef RNOR |
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148 #undef REXP |
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149 #define NAN octave_Float_NaN |
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150 #define RUNI oct_float_randu() |
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151 #define RNOR oct_float_randn() |
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152 #define REXP oct_float_rande() |
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153 |
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154 void |
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155 oct_fill_float_randg (float a, octave_idx_type n, float *r) |
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156 { |
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157 octave_idx_type i; |
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158 /* If a < 1, start by generating gamma(1+a) */ |
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159 const float d = (a < 1. ? 1.+a : a) - 1./3.; |
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160 const float c = 1./sqrt(9.*d); |
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161 |
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162 /* Handle invalid cases */ |
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163 if (a <= 0 || INFINITE(a)) |
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164 { |
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165 for (i=0; i < n; i++) |
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166 r[i] = NAN; |
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167 return; |
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168 } |
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169 |
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170 for (i=0; i < n; i++) |
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171 { |
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172 float x, xsq, v, u; |
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173 frestart: |
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174 x = RNOR; |
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175 v = (1+c*x); |
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176 v *= v*v; |
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177 if (v <= 0) |
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178 goto frestart; /* rare, so don't bother moving up */ |
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179 u = RUNI; |
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180 xsq = x*x; |
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parents:
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181 if (u >= 1.-0.0331*xsq*xsq && log(u) >= 0.5*xsq + d*(1-v+log(v))) |
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43db83eff9db
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182 goto frestart; |
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43db83eff9db
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183 r[i] = d*v; |
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43db83eff9db
Implement single precision rand, randn, rande, randg and randp generators (bug #34351, #36293)
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184 } |
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43db83eff9db
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185 if (a < 1) |
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43db83eff9db
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186 { /* Use gamma(a) = gamma(1+a)*U^(1/a) */ |
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43db83eff9db
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187 /* Given REXP = -log(U) then U^(1/a) = exp(-REXP/a) */ |
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43db83eff9db
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188 for (i = 0; i < n; i++) |
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189 r[i] *= exp(-REXP/a); |
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43db83eff9db
Implement single precision rand, randn, rande, randg and randp generators (bug #34351, #36293)
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parents:
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190 } |
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43db83eff9db
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191 } |
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192 |
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193 float |
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194 oct_float_randg (float a) |
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43db83eff9db
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parents:
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195 { |
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43db83eff9db
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196 float ret; |
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197 oct_fill_float_randg(a,1,&ret); |
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43db83eff9db
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198 return ret; |
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43db83eff9db
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199 } |