random.cpp
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#include <itpp/base/random.h>
#include <itpp/base/itcompat.h>
#include <itpp/base/math/elem_math.h>
namespace itpp
{
namespace random_details
{
//Thread-local context for thread-safe RNGs
static ActiveDSFMT::Context thread_local_context;
#pragma omp threadprivate(thread_local_context)
//Thread-local context initialization flag
static bool is_thread_local_context_initialized = false;
#pragma omp threadprivate(is_thread_local_context_initialized)
ActiveDSFMT::Context& lc_get()
{
return thread_local_context;
}
bool lc_is_initialized()
{
return is_thread_local_context_initialized;
}
void lc_mark_initialized()
{
is_thread_local_context_initialized = true;
}
static unsigned int hash_time_to_seed(time_t t, clock_t c)
{
static unsigned int differ = 0; // guarantee time-based seeds will change
unsigned int h1 = 0;
unsigned char *p = (unsigned char *) &t;
for(size_t i = 0; i < sizeof(t); ++i) {
h1 *= std::numeric_limits<unsigned char>::max() + 2U;
h1 += p[i];
}
unsigned int h2 = 0;
p = (unsigned char *) &c;
for(size_t j = 0; j < sizeof(c); ++j) {
h2 *= std::numeric_limits<unsigned char>::max() + 2U;
h2 += p[j];
}
return (h1 + differ++) ^ h2;
}
// ----------------------------------------------------------------------
// ActiveDSFMT (DSFMT_19937_RNG)
// ----------------------------------------------------------------------
template <>
const bool ActiveDSFMT::bigendian = is_bigendian();
#if defined(__SSE2__)
template <>
const __m128i ActiveDSFMT::sse2_param_mask = _mm_set_epi32(ActiveDSFMT::MSK32_3, ActiveDSFMT::MSK32_4, ActiveDSFMT::MSK32_1, ActiveDSFMT::MSK32_2);
#endif // __SSE2__
}
/*
*Global Seed Provider class definition.
*
* Provides unique seeds for thread-safe generators running in each thread.
*/
class GlobalSeedProvider
{
static const unsigned int default_first_seed = 4257U;
typedef random_details::ActiveDSFMT DSFMT;
public:
//constructor
GlobalSeedProvider(): _dsfmt(_c), _first_seed_given(false) {
_dsfmt.init_gen_rand(default_first_seed);
}
//set new seed
void set_seed(unsigned int s) {_dsfmt.init_gen_rand(s);}
//get preset seed
unsigned int get_seed() {return _c.last_seed;}
//reset provider state to previously set one
void reset() { if(_first_seed_given) _dsfmt.init_gen_rand(get_seed());}
//set previously saved state from ivec
void set_state(const ivec& st) {
int size = (DSFMT::N + 1) * 4;
it_assert(st.size() == size + 1, "GlobalSeedProvider::state(): "
"Invalid state initialization vector");
uint32_t *psfmt = &_c.status[0].u32[0];
for(int i = 0; i < size; ++i) {
psfmt[i] = static_cast<uint32_t>(st(i));
}
_c.idx = st(size);
_first_seed_given = true;
}
//get current provider state
ivec get_state() {
int size = (DSFMT::N + 1) * 4;
uint32_t *psfmt = &_c.status[0].u32[0];
ivec state(size + 1); // size + 1 to save idx variable in the same vec
for(int i = 0; i < size; ++i) {
state(i) = static_cast<int>(psfmt[i]);
}
state(size) = _c.idx;
return state;
}
//randomize current provider state with system time
void randomize() {_dsfmt.init_gen_rand(random_details::hash_time_to_seed(time(0), clock())); _first_seed_given = true;}
//generate new seed for random number generators
unsigned int generate() {
if(_first_seed_given)
return _dsfmt.genrand_uint32();
else {
//return default seed on first request.
//it is done in order not to breake the old-style itpp tests.
//Some tests rely on the default state equal to 4257U
_first_seed_given = true;
return default_first_seed;
}
}
private:
//
DSFMT _dsfmt;
//
DSFMT::Context _c;
//
bool _first_seed_given;
};
//Global seed provider instance
GlobalSeedProvider& global_seed_provider()
{
static GlobalSeedProvider global_seed_provider_instance;
return global_seed_provider_instance;
}
void GlobalRNG_reset(unsigned int seed)
{
#pragma omp critical
{
global_seed_provider().set_seed(seed);
}
}
void GlobalRNG_reset()
{
#pragma omp critical
{
global_seed_provider().reset();
}
}
unsigned int GlobalRNG_get_local_seed()
{
unsigned int s;
#pragma omp critical
{
s = global_seed_provider().generate();
}
return s;
}
void GlobalRNG_randomize()
{
#pragma omp critical
{
global_seed_provider().randomize();
}
}
void GlobalRNG_get_state(ivec &state)
{
#pragma omp critical
{
state = global_seed_provider().get_state();
}
}
void GlobalRNG_set_state(const ivec &state)
{
#pragma omp critical
{
global_seed_provider().set_state(state);
}
}
void RNG_reset(unsigned int seed)
{
random_details::ActiveDSFMT dsfmt(random_details::lc_get());
dsfmt.init_gen_rand(seed);
random_details::lc_mark_initialized();
}
void RNG_reset()
{
random_details::ActiveDSFMT dsfmt(random_details::lc_get());
if(random_details::lc_is_initialized()) {
//already initialized. Reinit with last set seed;
dsfmt.init_gen_rand(random_details::lc_get().last_seed);
}
else {
//query global seed provider for new seed and init with it
dsfmt.init_gen_rand(GlobalRNG_get_local_seed());
random_details::lc_mark_initialized();
}
}
void RNG_randomize()
{
random_details::ActiveDSFMT dsfmt(random_details::lc_get());
dsfmt.init_gen_rand(random_details::hash_time_to_seed(time(0), clock()));
random_details::lc_mark_initialized();
}
void RNG_get_state(ivec &state)
{
int size = (random_details::ActiveDSFMT::N + 1) * 4;
uint32_t *psfmt = &random_details::lc_get().status[0].u32[0];
state.set_size(size + 1); // size + 1 to save idx variable in the same vec
for(int i = 0; i < size; ++i) {
state(i) = static_cast<int>(psfmt[i]);
}
state(size) = random_details::lc_get().idx;
}
void RNG_set_state(const ivec &state)
{
int size = (random_details::ActiveDSFMT::N + 1) * 4;
it_assert(state.size() == size + 1, "RNG_set_state: "
"Invalid state initialization vector");
uint32_t *psfmt = &random_details::lc_get().status[0].u32[0];
for(int i = 0; i < size; ++i) {
psfmt[i] = static_cast< uint32_t >(state(i));
}
random_details::lc_get().idx = state(size);
}
// I_Uniform_RNG
I_Uniform_RNG::I_Uniform_RNG(int min, int max)
{
setup(min, max);
}
void I_Uniform_RNG::setup(int min, int max)
{
if(min <= max) {
lo = min;
hi = max;
}
else {
lo = max;
hi = min;
}
}
void I_Uniform_RNG::get_setup(int &min, int &max) const
{
min = lo;
max = hi;
}
ivec I_Uniform_RNG::operator()(int n)
{
ivec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
imat I_Uniform_RNG::operator()(int h, int w)
{
imat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
// Uniform_RNG
Uniform_RNG::Uniform_RNG(double min, double max)
{
setup(min, max);
}
void Uniform_RNG::setup(double min, double max)
{
if(min <= max) {
lo_bound = min;
hi_bound = max;
}
else {
lo_bound = max;
hi_bound = min;
}
}
void Uniform_RNG::get_setup(double &min, double &max) const
{
min = lo_bound;
max = hi_bound;
}
// Exp_RNG
Exponential_RNG::Exponential_RNG(double lambda)
{
setup(lambda);
}
vec Exponential_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Exponential_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
// Gamma_RNG
void Gamma_RNG::init_state()
{
const static double sqrt32 = 5.656854;
const static double q1 = 0.04166669;
const static double q2 = 0.02083148;
const static double q3 = 0.00801191;
const static double q4 = 0.00144121;
const static double q5 = -7.388e-5;
const static double q6 = 2.4511e-4;
const static double q7 = 2.424e-4;
double r = 1.0 / alpha;
_scale = 1.0 / beta;
it_error_if(!std::isfinite(alpha) || !std::isfinite(_scale) || (alpha < 0.0)
|| (_scale <= 0.0), "Gamma_RNG::init_state() - wrong parameters");
_s2 = alpha - 0.5;
_s = std::sqrt(_s2);
_d = sqrt32 - _s * 12.0;
_q0 = ((((((q7 * r + q6) * r + q5) * r + q4) * r + q3) * r
+ q2) * r + q1) * r;
/* Approximation depending on size of parameter alpha */
/* The constants in the expressions for _b, _si and _c */
/* were established by numerical experiments */
if(alpha <= 3.686) {
_b = 0.463 + _s + 0.178 * _s2;
_si = 1.235;
_c = 0.195 / _s - 0.079 + 0.16 * _s;
}
else if(alpha <= 13.022) {
_b = 1.654 + 0.0076 * _s2;
_si = 1.68 / _s + 0.275;
_c = 0.062 / _s + 0.024;
}
else {
_b = 1.77;
_si = 0.75;
_c = 0.1515 / _s;
}
}
vec Gamma_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Gamma_RNG::operator()(int r, int c)
{
mat mm(r, c);
for(int i = 0; i < r * c; i++)
mm(i) = sample();
return mm;
}
double Gamma_RNG::sample()
{
// A copy of rgamma code from the R package, adapted to IT++ by Vasek
// Smidl
/* Constants : */
const static double exp_m1 = 0.36787944117144232159;/* exp(-1) = 1/e */
const static double a1 = 0.3333333;
const static double a2 = -0.250003;
const static double a3 = 0.2000062;
const static double a4 = -0.1662921;
const static double a5 = 0.1423657;
const static double a6 = -0.1367177;
const static double a7 = 0.1233795;
double e, p, q, t, u, v, w, x, ret_val;
double a = alpha;
double scale = _scale;
if(a < 1.) { /* GS algorithm for parameters a < 1 */
if(a == 0)
return 0.;
e = 1.0 + exp_m1 * a;
for(;;) { //VS repeat
p = e * RNG.genrand_open_open();
if(p >= 1.0) {
x = -std::log((e - p) / a);
if(-std::log(RNG.genrand_open_close()) >= (1.0 - a) * std::log(x))
break;
}
else {
x = std::exp(std::log(p) / a);
if(-std::log(RNG.genrand_open_close()) >= x)
break;
}
}
return scale * x;
}
/* --- a >= 1 : GD algorithm --- */
/* Step 1: t = standard normal deviate, x = (s,1/2) -normal deviate. */
/* immediate acceptance (i) */
t = NRNG.sample();
x = _s + 0.5 * t;
ret_val = x * x;
if(t >= 0.0)
return scale * ret_val;
/* Step 2: u = 0,1 - uniform sample. squeeze acceptance (s) */
u = RNG.genrand_close_open();
if((_d * u) <= (t * t * t))
return scale * ret_val;
/* Step 3: no quotient test if x not positive */
if(x > 0.0) {
/* Step 4: calculation of v and quotient q */
v = t / (_s + _s);
if(std::fabs(v) <= 0.25)
q = _q0 + 0.5 * t * t * ((((((a7 * v + a6) * v + a5) * v + a4) * v
+ a3) * v + a2) * v + a1) * v;
else
q = _q0 - _s * t + 0.25 * t * t + (_s2 + _s2) * log(1.0 + v);
/* Step 5: quotient acceptance (q) */
if(log(1.0 - u) <= q)
return scale * ret_val;
}
for(;;) { //VS repeat
/* Step 6: e = standard exponential deviate
* u = 0,1 -uniform deviate
* t = (b,si)-double exponential (laplace) sample */
e = -std::log(RNG.genrand_open_close()); //see Exponential_RNG
u = RNG.genrand_open_close();
u = u + u - 1.0;
if(u < 0.0)
t = _b - _si * e;
else
t = _b + _si * e;
/* Step 7: rejection if t < tau(1) = -0.71874483771719 */
if(t >= -0.71874483771719) {
/* Step 8: calculation of v and quotient q */
v = t / (_s + _s);
if(std::fabs(v) <= 0.25)
q = _q0 + 0.5 * t * t *
((((((a7 * v + a6) * v + a5) * v + a4) * v + a3) * v
+ a2) * v + a1) * v;
else
q = _q0 - _s * t + 0.25 * t * t + (_s2 + _s2) * log(1.0 + v);
/* Step 9: hat acceptance (h) */
/* (if q not positive go to step 6) */
if(q > 0.0) {
// Try to use w = expm1(q); (Not supported on w32)
w = expm1(q);
/* ^^^^^ original code had approximation with rel.err < 2e-7 */
/* if t is rejected sample again at step 6 */
if((_c * std::fabs(u)) <= (w * std::exp(e - 0.5 * t * t)))
break;
}
}
} /* repeat .. until `t' is accepted */
x = _s + 0.5 * t;
return scale * x * x;
}
// Normal_RNG
void Normal_RNG::get_setup(double &meanval, double &variance) const
{
meanval = mean;
variance = sigma * sigma;
}
// (Ziggurat) tabulated values for the heigt of the Ziggurat levels
const double Normal_RNG::ytab[128] = {
1, 0.963598623011, 0.936280813353, 0.913041104253,
0.892278506696, 0.873239356919, 0.855496407634, 0.838778928349,
0.822902083699, 0.807732738234, 0.793171045519, 0.779139726505,
0.765577436082, 0.752434456248, 0.739669787677, 0.727249120285,
0.715143377413, 0.703327646455, 0.691780377035, 0.68048276891,
0.669418297233, 0.65857233912, 0.647931876189, 0.637485254896,
0.62722199145, 0.617132611532, 0.607208517467, 0.597441877296,
0.587825531465, 0.578352913803, 0.569017984198, 0.559815170911,
0.550739320877, 0.541785656682, 0.532949739145, 0.524227434628,
0.515614886373, 0.507108489253, 0.498704867478, 0.490400854812,
0.482193476986, 0.47407993601, 0.466057596125, 0.458123971214,
0.450276713467, 0.442513603171, 0.434832539473, 0.427231532022,
0.419708693379, 0.41226223212, 0.404890446548, 0.397591718955,
0.390364510382, 0.383207355816, 0.376118859788, 0.369097692334,
0.362142585282, 0.355252328834, 0.348425768415, 0.341661801776,
0.334959376311, 0.328317486588, 0.321735172063, 0.31521151497,
0.308745638367, 0.302336704338, 0.29598391232, 0.289686497571,
0.283443729739, 0.27725491156, 0.271119377649, 0.265036493387,
0.259005653912, 0.253026283183, 0.247097833139, 0.241219782932,
0.235391638239, 0.229612930649, 0.223883217122, 0.218202079518,
0.212569124201, 0.206983981709, 0.201446306496, 0.195955776745,
0.190512094256, 0.185114984406, 0.179764196185, 0.174459502324,
0.169200699492, 0.1639876086, 0.158820075195, 0.153697969964,
0.148621189348, 0.143589656295, 0.138603321143, 0.133662162669,
0.128766189309, 0.123915440582, 0.119109988745, 0.114349940703,
0.10963544023, 0.104966670533, 0.100343857232, 0.0957672718266,
0.0912372357329, 0.0867541250127, 0.082318375932, 0.0779304915295,
0.0735910494266, 0.0693007111742, 0.065060233529, 0.0608704821745,
0.056732448584, 0.05264727098, 0.0486162607163, 0.0446409359769,
0.0407230655415, 0.0368647267386, 0.0330683839378, 0.0293369977411,
0.0256741818288, 0.0220844372634, 0.0185735200577, 0.0151490552854,
0.0118216532614, 0.00860719483079, 0.00553245272614, 0.00265435214565
};
/*
* (Ziggurat) tabulated values for 2^24 times x[i]/x[i+1], used to accept
* for U*x[i+1]<=x[i] without any floating point operations
*/
const unsigned int Normal_RNG::ktab[128] = {
0, 12590644, 14272653, 14988939,
15384584, 15635009, 15807561, 15933577,
16029594, 16105155, 16166147, 16216399,
16258508, 16294295, 16325078, 16351831,
16375291, 16396026, 16414479, 16431002,
16445880, 16459343, 16471578, 16482744,
16492970, 16502368, 16511031, 16519039,
16526459, 16533352, 16539769, 16545755,
16551348, 16556584, 16561493, 16566101,
16570433, 16574511, 16578353, 16581977,
16585398, 16588629, 16591685, 16594575,
16597311, 16599901, 16602354, 16604679,
16606881, 16608968, 16610945, 16612818,
16614592, 16616272, 16617861, 16619363,
16620782, 16622121, 16623383, 16624570,
16625685, 16626730, 16627708, 16628619,
16629465, 16630248, 16630969, 16631628,
16632228, 16632768, 16633248, 16633671,
16634034, 16634340, 16634586, 16634774,
16634903, 16634972, 16634980, 16634926,
16634810, 16634628, 16634381, 16634066,
16633680, 16633222, 16632688, 16632075,
16631380, 16630598, 16629726, 16628757,
16627686, 16626507, 16625212, 16623794,
16622243, 16620548, 16618698, 16616679,
16614476, 16612071, 16609444, 16606571,
16603425, 16599973, 16596178, 16591995,
16587369, 16582237, 16576520, 16570120,
16562917, 16554758, 16545450, 16534739,
16522287, 16507638, 16490152, 16468907,
16442518, 16408804, 16364095, 16301683,
16207738, 16047994, 15704248, 15472926
};
// (Ziggurat) tabulated values of 2^{-24}*x[i]
const double Normal_RNG::wtab[128] = {
1.62318314817e-08, 2.16291505214e-08, 2.54246305087e-08, 2.84579525938e-08,
3.10340022482e-08, 3.33011726243e-08, 3.53439060345e-08, 3.72152672658e-08,
3.8950989572e-08, 4.05763964764e-08, 4.21101548915e-08, 4.35664624904e-08,
4.49563968336e-08, 4.62887864029e-08, 4.75707945735e-08, 4.88083237257e-08,
5.00063025384e-08, 5.11688950428e-08, 5.22996558616e-08, 5.34016475624e-08,
5.44775307871e-08, 5.55296344581e-08, 5.65600111659e-08, 5.75704813695e-08,
5.85626690412e-08, 5.95380306862e-08, 6.04978791776e-08, 6.14434034901e-08,
6.23756851626e-08, 6.32957121259e-08, 6.42043903937e-08, 6.51025540077e-08,
6.59909735447e-08, 6.68703634341e-08, 6.77413882848e-08, 6.8604668381e-08,
6.94607844804e-08, 7.03102820203e-08, 7.11536748229e-08, 7.1991448372e-08,
7.2824062723e-08, 7.36519550992e-08, 7.44755422158e-08, 7.52952223703e-08,
7.61113773308e-08, 7.69243740467e-08, 7.77345662086e-08, 7.85422956743e-08,
7.93478937793e-08, 8.01516825471e-08, 8.09539758128e-08, 8.17550802699e-08,
8.25552964535e-08, 8.33549196661e-08, 8.41542408569e-08, 8.49535474601e-08,
8.57531242006e-08, 8.65532538723e-08, 8.73542180955e-08, 8.8156298059e-08,
8.89597752521e-08, 8.97649321908e-08, 9.05720531451e-08, 9.138142487e-08,
9.21933373471e-08, 9.30080845407e-08, 9.38259651738e-08, 9.46472835298e-08,
9.54723502847e-08, 9.63014833769e-08, 9.71350089201e-08, 9.79732621669e-08,
9.88165885297e-08, 9.96653446693e-08, 1.00519899658e-07, 1.0138063623e-07,
1.02247952126e-07, 1.03122261554e-07, 1.04003996769e-07, 1.04893609795e-07,
1.05791574313e-07, 1.06698387725e-07, 1.07614573423e-07, 1.08540683296e-07,
1.09477300508e-07, 1.1042504257e-07, 1.11384564771e-07, 1.12356564007e-07,
1.13341783071e-07, 1.14341015475e-07, 1.15355110887e-07, 1.16384981291e-07,
1.17431607977e-07, 1.18496049514e-07, 1.19579450872e-07, 1.20683053909e-07,
1.21808209468e-07, 1.2295639141e-07, 1.24129212952e-07, 1.25328445797e-07,
1.26556042658e-07, 1.27814163916e-07, 1.29105209375e-07, 1.30431856341e-07,
1.31797105598e-07, 1.3320433736e-07, 1.34657379914e-07, 1.36160594606e-07,
1.37718982103e-07, 1.39338316679e-07, 1.41025317971e-07, 1.42787873535e-07,
1.44635331499e-07, 1.4657889173e-07, 1.48632138436e-07, 1.50811780719e-07,
1.53138707402e-07, 1.55639532047e-07, 1.58348931426e-07, 1.61313325908e-07,
1.64596952856e-07, 1.68292495203e-07, 1.72541128694e-07, 1.77574279496e-07,
1.83813550477e-07, 1.92166040885e-07, 2.05295471952e-07, 2.22600839893e-07
};
// (Ziggurat) position of right-most step
const double Normal_RNG::PARAM_R = 3.44428647676;
// Get a Normal distributed (0,1) sample
double Normal_RNG::sample()
{
uint32_t u, sign, i, j;
double x, y;
while(true) {
u = RNG.genrand_uint32();
sign = u & 0x80; // 1 bit for the sign
i = u & 0x7f; // 7 bits to choose the step
j = u >> 8; // 24 bits for the x-value
x = j * wtab[i];
if(j < ktab[i])
break;
if(i < 127) {
y = ytab[i + 1] + (ytab[i] - ytab[i + 1]) * RNG.genrand_close_open();
}
else {
x = PARAM_R - std::log(1.0 - RNG.genrand_close_open()) / PARAM_R;
y = std::exp(-PARAM_R * (x - 0.5 * PARAM_R)) * RNG.genrand_close_open();
}
if(y < std::exp(-0.5 * x * x))
break;
}
return sign ? x : -x;
}
// Laplace_RNG
Laplace_RNG::Laplace_RNG(double meanval, double variance)
{
setup(meanval, variance);
}
void Laplace_RNG::setup(double meanval, double variance)
{
mean = meanval;
var = variance;
sqrt_12var = std::sqrt(variance / 2.0);
}
void Laplace_RNG::get_setup(double &meanval, double &variance) const
{
meanval = mean;
variance = var;
}
vec Laplace_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Laplace_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
// AR1_Normal_RNG
AR1_Normal_RNG::AR1_Normal_RNG(double meanval, double variance, double rho)
{
setup(meanval, variance, rho);
}
void AR1_Normal_RNG::setup(double meanval, double variance, double rho)
{
mean = meanval;
var = variance;
r = rho;
factr = -2.0 * var * (1.0 - rho * rho);
mem = 0.0;
odd = true;
}
void AR1_Normal_RNG::get_setup(double &meanval, double &variance,
double &rho) const
{
meanval = mean;
variance = var;
rho = r;
}
vec AR1_Normal_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat AR1_Normal_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
void AR1_Normal_RNG::reset()
{
mem = 0.0;
}
// Weibull_RNG
Weibull_RNG::Weibull_RNG(double lambda, double beta)
{
setup(lambda, beta);
}
void Weibull_RNG::setup(double lambda, double beta)
{
l = lambda;
b = beta;
mean = tgamma(1.0 + 1.0 / b) / l;
var = tgamma(1.0 + 2.0 / b) / (l * l) - mean;
}
vec Weibull_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Weibull_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
// Rayleigh_RNG
Rayleigh_RNG::Rayleigh_RNG(double sigma)
{
setup(sigma);
}
vec Rayleigh_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Rayleigh_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
// Rice_RNG
Rice_RNG::Rice_RNG(double lambda, double beta)
{
setup(lambda, beta);
}
vec Rice_RNG::operator()(int n)
{
vec vv(n);
for(int i = 0; i < n; i++)
vv(i) = sample();
return vv;
}
mat Rice_RNG::operator()(int h, int w)
{
mat mm(h, w);
int i, j;
for(i = 0; i < h; i++)
for(j = 0; j < w; j++)
mm(i, j) = sample();
return mm;
}
} // namespace itpp
itpp::AR1_Normal_RNG::operator()
double operator()()
Get a single random sample.
Definition random.h:665
itpp::AR1_Normal_RNG::reset
void reset()
Set memory contents to zero.
Definition random.cpp:816
itpp::AR1_Normal_RNG::AR1_Normal_RNG
AR1_Normal_RNG(double meanval=0.0, double variance=1.0, double rho=0.0)
Constructor. Set mean, variance, and correlation.
Definition random.cpp:771
itpp::AR1_Normal_RNG::get_setup
void get_setup(double &meanval, double &variance, double &rho) const
Get mean, variance and correlation.
Definition random.cpp:786
itpp::AR1_Normal_RNG::setup
void setup(double meanval, double variance, double rho)
Set mean, variance, and correlation.
Definition random.cpp:776
itpp::Array
General array class.
Definition array.h:105
itpp::Array::size
int size() const
Returns the number of data elements in the array object.
Definition array.h:155
itpp::Array::set_size
void set_size(int n, bool copy=false)
Resizing an Array<T>.
Definition array.h:257
itpp::Exponential_RNG::Exponential_RNG
Exponential_RNG(double lambda=1.0)
constructor. Set lambda.
Definition random.cpp:366
itpp::Exponential_RNG::operator()
double operator()()
Get one sample.
Definition random.h:415
itpp::Exponential_RNG::setup
void setup(double lambda)
Set lambda.
Definition random.h:411
itpp::Gamma_RNG::operator()
double operator()()
Get one sample.
Definition random.h:518
itpp::Gamma_RNG::sample
double sample()
Get a sample.
Definition random.cpp:457
itpp::I_Uniform_RNG::setup
void setup(int min, int max)
set min and max values
Definition random.cpp:295
itpp::I_Uniform_RNG::get_setup
void get_setup(int &min, int &max) const
get the parameters
Definition random.cpp:307
itpp::I_Uniform_RNG::I_Uniform_RNG
I_Uniform_RNG(int min=0, int max=1)
constructor. Sets min and max values.
Definition random.cpp:290
itpp::I_Uniform_RNG::sample
int sample()
Return a single value from this random generator.
Definition random.h:338
itpp::I_Uniform_RNG::operator()
int operator()()
Get one sample.
Definition random.h:332
itpp::Laplace_RNG::get_setup
void get_setup(double &meanval, double &variance) const
Get mean and variance.
Definition random.cpp:737
itpp::Laplace_RNG::Laplace_RNG
Laplace_RNG(double meanval=0.0, double variance=1.0)
Constructor. Set mean and variance.
Definition random.cpp:725
itpp::Laplace_RNG::setup
void setup(double meanval, double variance)
Set mean and variance.
Definition random.cpp:730
itpp::Laplace_RNG::operator()
double operator()()
Get one sample.
Definition random.h:555
itpp::Laplace_RNG::sample
double sample()
Returns a single sample.
Definition random.h:561
itpp::Normal_RNG::sample
double sample()
Get a Normal distributed (0,1) sample.
Definition random.cpp:690
itpp::Normal_RNG::get_setup
void get_setup(double &meanval, double &variance) const
Get mean and variance.
Definition random.cpp:569
itpp::Random_Generator::genrand_open_open
double genrand_open_open()
Generate uniform (0, 1) double pseudorandom number.
Definition random.h:254
itpp::Random_Generator::genrand_close_open
double genrand_close_open()
Generate uniform [0, 1) double pseudorandom number.
Definition random.h:234
itpp::Random_Generator::genrand_uint32
uint32_t genrand_uint32()
Generate uniform [0, UINT_MAX) integer pseudorandom number.
Definition random.h:213
itpp::Random_Generator::genrand_open_close
double genrand_open_close()
Generate uniform (0, 1] double pseudorandom number.
Definition random.h:244
itpp::Rayleigh_RNG::Rayleigh_RNG
Rayleigh_RNG(double sigma=1.0)
Constructor. Set sigma.
Definition random.cpp:865
itpp::Rayleigh_RNG::operator()
double operator()()
Get one sample.
Definition random.h:743
itpp::Rayleigh_RNG::setup
void setup(double sigma)
Set sigma.
Definition random.h:739
itpp::Rice_RNG::operator()
double operator()()
Get one sample.
Definition random.h:773
itpp::Rice_RNG::Rice_RNG
Rice_RNG(double sigma=1.0, double v=1.0)
Constructor. Set sigma, and v (if v = 0, Rice -> Rayleigh).
Definition random.cpp:896
itpp::Rice_RNG::setup
void setup(double sigma, double v)
Set sigma, and v (if v = 0, Rice -> Rayleigh).
Definition random.h:769
itpp::Uniform_RNG::Uniform_RNG
Uniform_RNG(double min=0, double max=1.0)
Constructor. Set min, max and seed.
Definition random.cpp:339
itpp::Uniform_RNG::setup
void setup(double min, double max)
set min and max
Definition random.cpp:344
itpp::Uniform_RNG::get_setup
void get_setup(double &min, double &max) const
get parameters
Definition random.cpp:356
itpp::Weibull_RNG::operator()
double operator()()
Get one sample.
Definition random.h:715
itpp::Weibull_RNG::Weibull_RNG
Weibull_RNG(double lambda=1.0, double beta=1.0)
Constructor. Set lambda and beta.
Definition random.cpp:825
itpp::Weibull_RNG::setup
void setup(double lambda, double beta)
Set lambda, and beta.
Definition random.cpp:830
itpp::random_details::DSFMT
C++ implementation of dSFMT random number generator.
Definition random_dsfmt.h:99
elem_math.h
Elementary mathematical functions - header file.
it_error_if
#define it_error_if(t, s)
Abort if t is true.
Definition itassert.h:117
it_assert
#define it_assert(t, s)
Abort if t is not true.
Definition itassert.h:94
itpp::log
vec log(const vec &x)
The natural logarithm of the elements.
Definition log_exp.h:241
itpp::size
int size(const Vec< T > &v)
Length of vector.
Definition matfunc.h:55
itpp::is_bigendian
bool is_bigendian()
Returns true if machine endianness is BIG_ENDIAN.
Definition misc.cpp:50
itpp::sign
double sign(double x)
Signum function.
Definition elem_math.h:81
itpp::min
T min(const Vec< T > &in)
Minimum value of vector.
Definition min_max.h:125
itpp::max
T max(const Vec< T > &v)
Maximum value of vector.
Definition min_max.h:45
itpp::RNG_randomize
void RNG_randomize()
Set a random seed for all Random Number Generators in the current thread.
Definition random.cpp:254
itpp::random_details::lc_mark_initialized
void lc_mark_initialized()
Function to mark thread-local context as initialized.
Definition random.cpp:57
itpp::GlobalRNG_get_state
void GlobalRNG_get_state(ivec &state)
Save current full state of global seed provider in memory.
Definition random.cpp:213
itpp::RNG_set_state
void RNG_set_state(const ivec &state)
Resume Random Number generation in the current thread with previously stored context.
Definition random.cpp:274
itpp::GlobalRNG_get_local_seed
unsigned int GlobalRNG_get_local_seed()
Get new seed to initialize thread-local generators.
Definition random.cpp:193
itpp::RNG_reset
void RNG_reset()
Reset the seed to the previously set value for all Random Number Generators in the current thread.
Definition random.cpp:238
itpp::random_details::lc_is_initialized
bool lc_is_initialized()
Function to check if thread-local context is initialized.
Definition random.cpp:52
itpp::GlobalRNG_reset
void GlobalRNG_reset()
Reset the internal seed of the Global Seed Provider to the previously set value.
Definition random.cpp:185
itpp::RNG_get_state
void RNG_get_state(ivec &state)
Save Random Number generation context used in the current thread.
Definition random.cpp:262
itpp::random_details::ActiveDSFMT
DSFMT_19937_RNG ActiveDSFMT
Active Generator for random (stochastic) sources.
Definition random_dsfmt.h:395
itpp::random_details::lc_get
ActiveDSFMT::Context & lc_get()
Function to access thread-local context for random numbers generation.
Definition random.cpp:47
itpp::GlobalRNG_randomize
void GlobalRNG_randomize()
Set a random seed for the Global Seed Provider seed.
Definition random.cpp:204
itpp::GlobalRNG_set_state
void GlobalRNG_set_state(const ivec &state)
Resume the global seed provider state saved in memory.
Definition random.cpp:222
itpp::variance
double variance(const cvec &v)
The variance of the elements in the vector. Normalized with N-1 to be unbiased.
Definition misc_stat.cpp:159
itcompat.h
IT++ compatibility types and functions.
itpp
itpp namespace
Definition itmex.h:37
itpp::random_details::hash_time_to_seed
static unsigned int hash_time_to_seed(time_t t, clock_t c)
Get an unsigned int from time variables t and c.
Definition random.cpp:68
random.h
Definition of classes for random number generators.
itpp::random_details::DSFMT::Context
DSFMT context structure.
Definition random_dsfmt.h:122
itpp::random_details::DSFMT::Context::idx
int idx
State array indexing.
Definition random_dsfmt.h:138
itpp::random_details::DSFMT::Context::status
w128_t status[N+1]
128-bit internal state array
Definition random_dsfmt.h:136

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