Mercurial > hg > octave-lyh
annotate liboctave/numeric/randgamma.c @ 17191:ca5103ab0b21
check_gzip_magic before get_file_format (wrong type detection, bug #39652)
* load-save.cc (get_file_format): call check_gzip_magic before get_file_format
to avoid random LS_MAT_ASCII detections in gzipped files.
* ls-mat-ascii.cc (looks_like_mat_ascii_file): New arg, IS which could also
be a gzipped file, is now opened in the calling function.
* ls-mat-ascii.h (looks_like_mat_ascii_file): New arg, IS.
author | Andreas Weber <andy.weber.aw@gmail.com> |
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date | Fri, 02 Aug 2013 19:48:34 +0200 |
parents | 648dabbb4c6b |
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rev | line source |
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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) |
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29 void fill_randg (a,n,x) |
5742 | 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; | |
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102 /* If a < 1, start by generating gamma (1+a) */ |
5742 | 103 const double d = (a < 1. ? 1.+a : a) - 1./3.; |
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104 const double c = 1./sqrt (9.*d); |
5742 | 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; | |
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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; | |
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141 oct_fill_randg (a,1,&ret); |
5742 | 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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181 if (u >= 1.-0.0331*xsq*xsq && log (u) >= 0.5*xsq + d*(1-v+log (v))) |
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182 goto frestart; |
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183 r[i] = d*v; |
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184 } |
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185 if (a < 1) |
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186 { /* Use gamma(a) = gamma(1+a)*U^(1/a) */ |
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187 /* Given REXP = -log(U) then U^(1/a) = exp(-REXP/a) */ |
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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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190 } |
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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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195 { |
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196 float ret; |
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197 oct_fill_float_randg (a,1,&ret); |
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198 return ret; |
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199 } |