| 1 | /*************************************************************************** |
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| 2 | * blitz/rand-normal.h Random Gaussian (Normal) generator |
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| 3 | * |
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| 4 | * $Id: rand-normal.h,v 1.4 2003/12/11 03:44:22 julianc Exp $ |
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| 5 | * |
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| 6 | * Copyright (C) 1997-2001 Todd Veldhuizen <tveldhui@oonumerics.org> |
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| 7 | * |
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| 8 | * This program is free software; you can redistribute it and/or |
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| 9 | * modify it under the terms of the GNU General Public License |
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| 10 | * as published by the Free Software Foundation; either version 2 |
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| 11 | * of the License, or (at your option) any later version. |
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| 12 | * |
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| 13 | * This program is distributed in the hope that it will be useful, |
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| 14 | * but WITHOUT ANY WARRANTY; without even the implied warranty of |
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| 15 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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| 16 | * GNU General Public License for more details. |
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| 17 | * |
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| 18 | * Suggestions: blitz-dev@oonumerics.org |
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| 19 | * Bugs: blitz-bugs@oonumerics.org |
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| 20 | * |
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| 21 | * For more information, please see the Blitz++ Home Page: |
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| 22 | * http://oonumerics.org/blitz/ |
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| 23 | * |
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| 24 | *************************************************************************** |
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| 25 | * |
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| 26 | * This generator transforms a (0,1] uniform distribution into |
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| 27 | * a Normal distribution. Let u,v be (0,1] random variables. Then |
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| 28 | * |
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| 29 | * x = sqrt(-2 ln v) cos(pi (2u-1)) |
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| 30 | * |
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| 31 | * is N(0,1) distributed. |
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| 32 | * |
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| 33 | * Reference: Athanasios Papoulis, "Probability, random variables, |
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| 34 | * and stochastic processes," McGraw-Hill : Toronto, 1991. |
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| 35 | * |
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| 36 | ***************************************************************************/ |
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| 37 | |
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| 38 | #ifndef BZ_RAND_NORMAL_H |
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| 39 | #define BZ_RAND_NORMAL_H |
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| 40 | |
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| 41 | #ifndef BZ_RANDOM_H |
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| 42 | #include <blitz/random.h> |
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| 43 | #endif |
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| 44 | |
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| 45 | #ifndef BZ_RAND_UNIFORM_H |
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| 46 | #include <blitz/rand-uniform.h> |
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| 47 | #endif |
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| 48 | |
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| 49 | #include <math.h> |
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| 50 | |
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| 51 | BZ_NAMESPACE(blitz) |
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| 52 | |
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| 53 | template<typename P_uniform BZ_TEMPLATE_DEFAULT(Uniform)> |
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| 54 | class Normal { |
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| 55 | |
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| 56 | public: |
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| 57 | typedef double T_numtype; |
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| 58 | |
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| 59 | Normal(double mean = 0.0, double variance = 1.0, double = 0.0) |
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| 60 | : mean_(mean), sigma_(::sqrt(variance)) |
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| 61 | { |
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| 62 | } |
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| 63 | |
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| 64 | void randomize() |
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| 65 | { |
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| 66 | uniform_.randomize(); |
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| 67 | } |
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| 68 | |
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| 69 | double random() |
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| 70 | { |
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| 71 | double u, v; |
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| 72 | |
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| 73 | do { |
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| 74 | u = uniform_.random(); |
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| 75 | v = uniform_.random(); |
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| 76 | } while (v == 0); |
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| 77 | |
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| 78 | return mean_ + sigma_ * ::sqrt(-2*::log(v)) * ::cos(M_PI * (2*u - 1)); |
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| 79 | } |
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| 80 | |
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| 81 | private: |
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| 82 | double mean_, sigma_; |
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| 83 | P_uniform uniform_; |
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| 84 | }; |
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| 85 | |
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| 86 | BZ_NAMESPACE_END |
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| 87 | |
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| 88 | #endif // BZ_RAND_NORMAL_H |
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| 89 | |
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