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Merge pull request #162 from mcveanlab/randomNumberGenerator
Random number generator
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| // GNU General Public License Agreement | ||
| // Copyright (C) 2004-2010 CodeCogs, Zyba Ltd, Broadwood, Holford, TA5 1DU, England. | ||
| // | ||
| // This program is free software; you can redistribute it and/or modify it under | ||
| // the terms of the GNU General Public License as published by CodeCogs. | ||
| // You must retain a copy of this licence in all copies. | ||
| // | ||
| // This program 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. | ||
| // --------------------------------------------------------------------------------- | ||
| //! Random number generator class using the Mersenne Twister algorithm | ||
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| #ifndef STATS_RANDOM_MERSENNE_H | ||
| #define STATS_RANDOM_MERSENNE_H | ||
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| #include <assert.h> | ||
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| #define N 624 | ||
| #define M 397 | ||
| #define MATRIX_A 0x9908b0dfUL | ||
| #define UPPER_MASK 0x80000000UL | ||
| #define LOWER_MASK 0x7fffffffUL | ||
| #define MERSENNEDIV 4294967296.0 | ||
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| //! Random number generator class using the Mersenne Twister algorithm | ||
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| class Mersenne { | ||
| public: | ||
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| //! Constructor that initializes the generator with the given seed. | ||
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| Mersenne(size_t s = 46875) { | ||
| this->setSeed(s); | ||
| Init((unsigned long)(s)); | ||
| } | ||
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| //! Copy constructor | ||
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| Mersenne(const Mersenne &C) { | ||
| size_t s = C.getSeed(); | ||
| this->setSeed (s); | ||
| Init((unsigned long)(s)); | ||
| } | ||
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| //! Generates an uniform floating point number in the (0, 1) interval (endpoints are excluded). | ||
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| double genReal() { | ||
| return ((double)Next() + 0.5) / MERSENNEDIV; | ||
| } | ||
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| //! Generates an uniform large integer in the (0, 2^32 - 1) interval. | ||
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| unsigned int genInt() { | ||
| return Next(); | ||
| } | ||
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| //! Resets the seed of the generator to the given parameter. | ||
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| void setSeed(size_t s) { | ||
| this->seed_ = s; | ||
| Init((unsigned long)(s)); | ||
| } | ||
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| //! Returns the seed of the generator. | ||
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| size_t getSeed() const { | ||
| return seed_; | ||
| } | ||
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| private: | ||
| void Init(unsigned long s){ | ||
| mt[0]= s & 0xffffffffUL; | ||
| for (mti = 1; mti < N; ++mti) { | ||
| mt[mti] = (1812433253UL * (mt[mti-1] ^ (mt[mti-1] >> 30)) + mti); | ||
| mt[mti] &= 0xffffffffUL; | ||
| } | ||
| } | ||
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| unsigned long Next(){ | ||
| unsigned long y; | ||
| if (mti >= N) { | ||
| int k; | ||
| unsigned long tmp[2] = {0x0UL, MATRIX_A}; | ||
| for (k = 0; k < N - M; ++k) { | ||
| y = (mt[k] & UPPER_MASK) | (mt[k + 1] & LOWER_MASK); | ||
| mt[k] = mt[k + M] ^ (y >> 1) ^ tmp[y & 0x1UL]; | ||
| } | ||
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| for (; k < N - 1; ++k) { | ||
| y = (mt[k] & UPPER_MASK) | (mt[k+1] & LOWER_MASK); | ||
| mt[k] = mt[k + (M - N)] ^ (y >> 1) ^ tmp[y & 0x1UL]; | ||
| } | ||
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| y = (mt[N - 1] & UPPER_MASK) | (mt[0] & LOWER_MASK); | ||
| mt[N - 1] = mt[M - 1] ^ (y >> 1) ^ tmp[y & 0x1UL]; | ||
| mti = 0; | ||
| } | ||
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| y = mt[mti++]; | ||
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| y ^= (y >> 11); | ||
| y ^= (y << 7) & 0x9d2c5680UL; | ||
| y ^= (y << 15) & 0xefc60000UL; | ||
| y ^= (y >> 18); | ||
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| return y; | ||
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| } | ||
| size_t seed_; | ||
| unsigned long mt[N]; | ||
| int mti; | ||
| }; | ||
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| #undef N | ||
| #undef M | ||
| #undef MATRIX_A | ||
| #undef UPPER_MASK | ||
| #undef LOWER_MASK | ||
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| #endif | ||
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| // GNU General Public License Agreement | ||
| // Copyright (C) 2004-2010 CodeCogs, Zyba Ltd, Broadwood, Holford, TA5 1DU, England. | ||
| // | ||
| // This program is free software; you can redistribute it and/or modify it under | ||
| // the terms of the GNU General Public License as published by CodeCogs. | ||
| // You must retain a copy of this licence in all copies. | ||
| // | ||
| // This program 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. | ||
| // --------------------------------------------------------------------------------- | ||
| //! Generates random numbers following a standard normal distribution. | ||
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| #ifndef STATS_DISTS_CONTINUOUS_NORMAL_RANDOMSAMPLE_H | ||
| #define STATS_DISTS_CONTINUOUS_NORMAL_RANDOMSAMPLE_H | ||
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| #include <mersenne.hpp> | ||
| #include <math.h> | ||
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| #define NORMALDENS(x) ((fabs(x) > 8.0) ? 0 : 0.398942280 * exp(- x * x / 2)) | ||
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| //! Generates random numbers following a standard normal distribution. | ||
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| class StandNormalRandomSample : public Mersenne { | ||
| public: | ||
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| //! Class constructor. | ||
| StandNormalRandomSample(double s = 0.65234) : Mersenne(s) { | ||
| sx = new double[60]; | ||
| sfx = new double[60]; | ||
| double sxi = 0.0; | ||
| double inc = 0.01; | ||
| for (int i = 0; i < 60; ++i) { | ||
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| sx[i] = sxi; | ||
| double f1 = NORMALDENS(sxi); | ||
| sfx[i] = f1; | ||
| if (f1 <= 0.0) { | ||
| xi = 2 * i; | ||
| return; | ||
| } | ||
| sxi += inc / f1; | ||
| } | ||
| } | ||
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| //! Class destructor. | ||
| ~StandNormalRandomSample() { | ||
| delete [] sx; | ||
| delete [] sfx; | ||
| } | ||
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| //! Generates a random deviate from the standard normal distribution. | ||
| double genReal() { | ||
| int ir; | ||
| double s, ak, y; | ||
| do { | ||
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| s = 1.0; | ||
| double r1 = Mersenne::genReal(); | ||
| if (r1 > 0.5) { | ||
| s = -1.0; | ||
| r1 = 1.0 - r1; | ||
| } | ||
| ir = (int)(r1 * xi); | ||
| double sxi = sx[ir]; | ||
| ak = sxi + (sx[ir + 1] - sxi) * Mersenne::genReal(); | ||
| y = sfx[ir] * Mersenne::genReal(); | ||
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| } while (y >= sfx[ir + 1] && y >= NORMALDENS(ak)); | ||
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| return s * ak; | ||
| } | ||
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| private: | ||
| double xi, *sx, *sfx; | ||
| }; | ||
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| #endif | ||
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