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1 /* boost random/gamma_distribution.hpp header file |
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2 * |
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3 * Copyright Jens Maurer 2002 |
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4 * Distributed under the Boost Software License, Version 1.0. (See |
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5 * accompanying file LICENSE_1_0.txt or copy at |
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6 * http://www.boost.org/LICENSE_1_0.txt) |
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7 * |
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8 * See http://www.boost.org for most recent version including documentation. |
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9 * |
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10 * $Id: gamma_distribution.hpp,v 1.9 2004/07/27 03:43:32 dgregor Exp $ |
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11 * |
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12 */ |
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13 |
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14 #ifndef BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP |
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15 #define BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP |
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16 |
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17 #include <cmath> |
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18 #include <cassert> |
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19 #include <boost/limits.hpp> |
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20 #include <boost/static_assert.hpp> |
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21 #include <boost/random/exponential_distribution.hpp> |
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22 |
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23 namespace boost { |
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24 |
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25 // Knuth |
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26 template<class RealType = double> |
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27 class gamma_distribution |
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28 { |
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29 public: |
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30 typedef RealType input_type; |
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31 typedef RealType result_type; |
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32 |
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33 #ifndef BOOST_NO_LIMITS_COMPILE_TIME_CONSTANTS |
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34 BOOST_STATIC_ASSERT(!std::numeric_limits<RealType>::is_integer); |
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35 #endif |
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36 |
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37 explicit gamma_distribution(const result_type& alpha = result_type(1)) |
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38 : _exp(result_type(1)), _alpha(alpha) |
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39 { |
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40 assert(alpha > result_type(0)); |
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41 init(); |
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42 } |
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43 |
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44 // compiler-generated copy ctor and assignment operator are fine |
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45 |
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46 RealType alpha() const { return _alpha; } |
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47 |
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48 void reset() { _exp.reset(); } |
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49 |
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50 template<class Engine> |
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51 result_type operator()(Engine& eng) |
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52 { |
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53 #ifndef BOOST_NO_STDC_NAMESPACE |
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54 // allow for Koenig lookup |
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55 using std::tan; using std::sqrt; using std::exp; using std::log; |
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56 using std::pow; |
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57 #endif |
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58 if(_alpha == result_type(1)) { |
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59 return _exp(eng); |
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60 } else if(_alpha > result_type(1)) { |
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61 // Can we have a boost::mathconst please? |
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62 const result_type pi = result_type(3.14159265358979323846); |
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63 for(;;) { |
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64 result_type y = tan(pi * eng()); |
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65 result_type x = sqrt(result_type(2)*_alpha-result_type(1))*y |
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66 + _alpha-result_type(1); |
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67 if(x <= result_type(0)) |
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68 continue; |
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69 if(eng() > |
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70 (result_type(1)+y*y) * exp((_alpha-result_type(1)) |
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71 *log(x/(_alpha-result_type(1))) |
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72 - sqrt(result_type(2)*_alpha |
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73 -result_type(1))*y)) |
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74 continue; |
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75 return x; |
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76 } |
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77 } else /* alpha < 1.0 */ { |
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78 for(;;) { |
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79 result_type u = eng(); |
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80 result_type y = _exp(eng); |
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81 result_type x, q; |
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82 if(u < _p) { |
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83 x = exp(-y/_alpha); |
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84 q = _p*exp(-x); |
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85 } else { |
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86 x = result_type(1)+y; |
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87 q = _p + (result_type(1)-_p) * pow(x, _alpha-result_type(1)); |
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88 } |
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89 if(u >= q) |
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90 continue; |
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91 return x; |
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92 } |
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93 } |
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94 } |
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95 |
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96 #if !defined(BOOST_NO_OPERATORS_IN_NAMESPACE) && !defined(BOOST_NO_MEMBER_TEMPLATE_FRIENDS) |
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97 template<class CharT, class Traits> |
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98 friend std::basic_ostream<CharT,Traits>& |
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99 operator<<(std::basic_ostream<CharT,Traits>& os, const gamma_distribution& gd) |
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100 { |
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101 os << gd._alpha; |
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102 return os; |
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103 } |
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104 |
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105 template<class CharT, class Traits> |
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106 friend std::basic_istream<CharT,Traits>& |
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107 operator>>(std::basic_istream<CharT,Traits>& is, gamma_distribution& gd) |
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108 { |
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109 is >> std::ws >> gd._alpha; |
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110 gd.init(); |
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111 return is; |
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112 } |
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113 #endif |
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114 |
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115 private: |
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116 void init() |
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117 { |
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118 #ifndef BOOST_NO_STDC_NAMESPACE |
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119 // allow for Koenig lookup |
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120 using std::exp; |
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121 #endif |
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122 _p = exp(result_type(1)) / (_alpha + exp(result_type(1))); |
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123 } |
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124 |
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125 exponential_distribution<RealType> _exp; |
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126 result_type _alpha; |
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127 // some data precomputed from the parameters |
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128 result_type _p; |
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129 }; |
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130 |
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131 } // namespace boost |
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132 |
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133 #endif // BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP |