Repository: commons-rng Updated Branches: refs/heads/master 805ac0425 -> 2964c6ae6
RNG-36: Class renamed. Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/4ef78f53 Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/4ef78f53 Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/4ef78f53 Branch: refs/heads/master Commit: 4ef78f53b61eb5df545751da8d3895a3206c1b5a Parents: 805ac04 Author: Gilles <er...@apache.org> Authored: Fri Apr 7 15:58:47 2017 +0200 Committer: Gilles <er...@apache.org> Committed: Fri Apr 7 15:58:47 2017 +0200 ---------------------------------------------------------------------- .../AhrensDieterMarsagliaTsangGammaSampler.java | 2 +- .../distribution/BoxMullerLogNormalSampler.java | 2 +- ...rWithRejectionNormalizedGaussianSampler.java | 88 -------------------- .../MarsagliaNormalizedGaussianSampler.java | 87 +++++++++++++++++++ .../sampling/distribution/PoissonSampler.java | 2 +- .../distribution/ContinuousSamplersList.java | 2 +- 6 files changed, 91 insertions(+), 92 deletions(-) ---------------------------------------------------------------------- http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java index baf3b17..7883362 100644 --- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java +++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java @@ -60,7 +60,7 @@ public class AhrensDieterMarsagliaTsangGammaSampler super(rng); this.alpha = alpha; this.theta = theta; - gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng); + gaussian = new MarsagliaNormalizedGaussianSampler(rng); } /** {@inheritDoc} */ http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java index 5e4ba22..e793e38 100644 --- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java +++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java @@ -43,7 +43,7 @@ public class BoxMullerLogNormalSampler super(null); // Not used. this.scale = scale; this.shape = shape; - gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng); + gaussian = new MarsagliaNormalizedGaussianSampler(rng); } /** {@inheritDoc} */ http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java deleted file mode 100644 index ae77ce6..0000000 --- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java +++ /dev/null @@ -1,88 +0,0 @@ -/* - * Licensed to the Apache Software Foundation (ASF) under one or more - * contributor license agreements. See the NOTICE file distributed with - * this work for additional information regarding copyright ownership. - * The ASF licenses this file to You under the Apache License, Version 2.0 - * (the "License"); you may not use this file except in compliance with - * the License. You may obtain a copy of the License at - * - * http://www.apache.org/licenses/LICENSE-2.0 - * - * Unless required by applicable law or agreed to in writing, software - * distributed under the License is distributed on an "AS IS" BASIS, - * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. - * See the License for the specific language governing permissions and - * limitations under the License. - */ -package org.apache.commons.rng.sampling.distribution; - -import org.apache.commons.rng.UniformRandomProvider; - -/** - * <a href="https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform";> - * Box-Muller algorithm</a> for sampling from Gaussian distribution with - * mean 0 and standard deviation 1. - * This is a variation, suggested in <a href="http://haifux.org/lectures/79/random.pdf";> - * this presentation</a> (page 39), of the algorithm implemented in - * {@link BoxMullerNormalizedGaussianSampler}. - * - * @since 1.1 - */ -public class BoxMullerWithRejectionNormalizedGaussianSampler - extends SamplerBase - implements NormalizedGaussianSampler { - /** Next gaussian. */ - private double nextGaussian = Double.NaN; - - /** - * @param rng Generator of uniformly distributed random numbers. - */ - public BoxMullerWithRejectionNormalizedGaussianSampler(UniformRandomProvider rng) { - super(rng); - } - - /** {@inheritDoc} */ - @Override - public double sample() { - final double random; - if (Double.isNaN(nextGaussian)) { - // Rejection scheme for selecting a pair that lies within the unit circle. - SAMPLE: while (true) { - // Generate a pair of numbers within [-1 , 1). - final double x = 2 * nextDouble() - 1; - final double y = 2 * nextDouble() - 1; - final double r2 = x * x + y * y; - - if (r2 < 1) { - // Pair (x, y) is within unit circle. - - final double r = Math.sqrt(r2); - final double alpha = 2 * Math.sqrt(-Math.log(r)) / r; - - // Return the first element of the generated pair. - random = alpha * x; - - // Keep second element of the pair for next invocation. - nextGaussian = alpha * y; - break SAMPLE; - } - // Pair is not within the unit circle: Generate another one. - } - } else { - // Use the second element of the pair (generated at the - // previous invocation). - random = nextGaussian; - - // Both elements of the pair have been used. - nextGaussian = Double.NaN; - } - - return random; - } - - /** {@inheritDoc} */ - @Override - public String toString() { - return "Box-Muller (with rejection) normalized Gaussian deviate [" + super.toString() + "]"; - } -} http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java new file mode 100644 index 0000000..6dc9f2a --- /dev/null +++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java @@ -0,0 +1,87 @@ +/* + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed with + * this work for additional information regarding copyright ownership. + * The ASF licenses this file to You under the Apache License, Version 2.0 + * (the "License"); you may not use this file except in compliance with + * the License. You may obtain a copy of the License at + * + * http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ +package org.apache.commons.rng.sampling.distribution; + +import org.apache.commons.rng.UniformRandomProvider; + +/** + * <a href="https://en.wikipedia.org/wiki/Marsaglia_polar_method";> + * Marsaglia polar method</a> for sampling from a Gaussian distribution + * with mean 0 and standard deviation 1. + * This is a variation of the algorithm implemented in + * {@link BoxMullerNormalizedGaussianSampler}. + * + * @since 1.1 + */ +public class MarsagliaNormalizedGaussianSampler + extends SamplerBase + implements NormalizedGaussianSampler { + /** Next gaussian. */ + private double nextGaussian = Double.NaN; + + /** + * @param rng Generator of uniformly distributed random numbers. + */ + public MarsagliaNormalizedGaussianSampler(UniformRandomProvider rng) { + super(rng); + } + + /** {@inheritDoc} */ + @Override + public double sample() { + final double random; + if (Double.isNaN(nextGaussian)) { + // Rejection scheme for selecting a pair that lies within the unit circle. + SAMPLE: while (true) { + // Generate a pair of numbers within [-1 , 1). + final double x = 2 * nextDouble() - 1; + final double y = 2 * nextDouble() - 1; + final double r2 = x * x + y * y; + + if (r2 < 1) { + // Pair (x, y) is within unit circle. + + final double r = Math.sqrt(r2); + final double alpha = 2 * Math.sqrt(-Math.log(r)) / r; + + // Return the first element of the generated pair. + random = alpha * x; + + // Keep second element of the pair for next invocation. + nextGaussian = alpha * y; + break SAMPLE; + } + // Pair is not within the unit circle: Generate another one. + } + } else { + // Use the second element of the pair (generated at the + // previous invocation). + random = nextGaussian; + + // Both elements of the pair have been used. + nextGaussian = Double.NaN; + } + + return random; + } + + /** {@inheritDoc} */ + @Override + public String toString() { + return "Box-Muller (with rejection) normalized Gaussian deviate [" + super.toString() + "]"; + } +} http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java index ea40f81..50e696e 100644 --- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java +++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java @@ -64,7 +64,7 @@ public class PoissonSampler this.mean = mean; - gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng); + gaussian = new MarsagliaNormalizedGaussianSampler(rng); exponential = new AhrensDieterExponentialSampler(rng, 1); factorialLog = mean < PIVOT ? null : // Not used. http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java ---------------------------------------------------------------------- diff --git a/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java b/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java index aa0e458..0383928 100644 --- a/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java +++ b/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java @@ -50,7 +50,7 @@ public class ContinuousSamplersList { meanNormal, sigmaNormal)); // Gaussian ("Box-Muller" with rejection). add(LIST, new org.apache.commons.math3.distribution.NormalDistribution(meanNormal, sigmaNormal), - new GaussianSampler(new BoxMullerWithRejectionNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)), + new GaussianSampler(new MarsagliaNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)), meanNormal, sigmaNormal)); // Beta ("inverse method").
