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74 lines
2.2 KiB
C++
74 lines
2.2 KiB
C++
// $Id: talRandom.cpp 962 2006-11-07 15:13:34Z privmane $
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#include "talRandom.h"
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RandintTal talRandom::r = static_cast<long>(time(0)) ;
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MDOUBLE talRandom::DblGammaGreaterThanOne(MDOUBLE dblAlpha) {
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// Code adopted from David Heckerman
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//-----------------------------------------------------------
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// DblGammaGreaterThanOne(dblAlpha)
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//
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// routine to generate a gamma random variable with unit scale and
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// alpha > 1
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// reference: Ripley, Stochastic Simulation, p.90
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// Chang and Feast, Appl.Stat. (28) p.290
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//-----------------------------------------------------------
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MDOUBLE rgdbl[6];
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rgdbl[1] = dblAlpha - 1.0;
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rgdbl[2] = (dblAlpha - (1.0 / (6.0 * dblAlpha))) / rgdbl[1];
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rgdbl[3] = 2.0 / rgdbl[1];
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rgdbl[4] = rgdbl[3] + 2.0;
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rgdbl[5] = 1.0 / sqrt(dblAlpha);
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for (;;)
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{
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MDOUBLE dblRand1;
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MDOUBLE dblRand2;
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do
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{
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dblRand1 = giveRandomNumberBetweenZeroAndEntry(1.0);
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dblRand2 = giveRandomNumberBetweenZeroAndEntry(1.0);
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if (dblAlpha > 2.5)
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dblRand1 = dblRand2 + rgdbl[5] * (1.0 - 1.86 * dblRand1);
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} while (!(0.0 < dblRand1 && dblRand1 < 1.0));
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MDOUBLE dblTemp = rgdbl[2] * dblRand2 / dblRand1;
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if (rgdbl[3] * dblRand1 + dblTemp + 1.0 / dblTemp <= rgdbl[4] ||
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rgdbl[3] * log(dblRand1) + dblTemp - log(dblTemp) < 1.0)
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{
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return dblTemp * rgdbl[1];
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}
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}
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assert(false);
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return 0.0;
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}
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MDOUBLE talRandom::DblGammaLessThanOne(MDOUBLE dblAlpha){
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//routine to generate a gamma random variable with
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//unit scale and alpha < 1
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//reference: Ripley, Stochastic Simulation, p.88
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MDOUBLE dblTemp;
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const MDOUBLE dblexp = exp(1.0);
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for (;;){
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MDOUBLE dblRand0 = giveRandomNumberBetweenZeroAndEntry(1.0);
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MDOUBLE dblRand1 = giveRandomNumberBetweenZeroAndEntry(1.0);
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if (dblRand0 <= (dblexp / (dblAlpha + dblexp))){
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dblTemp = pow(((dblAlpha + dblexp) * dblRand0) /
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dblexp, 1.0 / dblAlpha);
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if (dblRand1 <= exp(-1.0 * dblTemp)) return dblTemp;
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} else {
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dblTemp = -1.0 * log((dblAlpha + dblexp) * (1.0 - dblRand0) /
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(dblAlpha * dblexp));
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if (dblRand1 <= pow(dblTemp,dblAlpha - 1.0)) return dblTemp;
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}
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}
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assert(false);
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return 0.0;
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} // DblGammaLessThanOne
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