1 | // $Id: random.cc 4010 2020-10-19 02:33:47Z peter $ |
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2 | |
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3 | /* |
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4 | Copyright (C) 2005, 2006, 2007, 2008 Jari Häkkinen, Peter Johansson |
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5 | Copyright (C) 2009, 2011, 2012, 2013, 2015, 2016, 2017, 2018, 2020 Peter Johansson |
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6 | |
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7 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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8 | |
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9 | The yat library is free software; you can redistribute it and/or |
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10 | modify it under the terms of the GNU General Public License as |
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11 | published by the Free Software Foundation; either version 3 of the |
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12 | License, or (at your option) any later version. |
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13 | |
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14 | The yat library is distributed in the hope that it will be useful, |
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15 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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16 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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17 | General Public License for more details. |
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18 | |
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19 | You should have received a copy of the GNU General Public License |
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20 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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21 | */ |
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22 | |
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23 | #include <config.h> |
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24 | |
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25 | #include "random.h" |
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26 | #include "yat/statistics/Histogram.h" |
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27 | #include "yat/utility/Exception.h" |
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28 | #include "yat/utility/utility.h" |
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29 | |
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30 | #include <cassert> |
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31 | #include <cstddef> |
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32 | #include <cstring> |
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33 | #include <fstream> |
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34 | #include <mutex> |
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35 | #include <sstream> |
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36 | |
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37 | namespace theplu { |
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38 | namespace yat { |
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39 | namespace random { |
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40 | |
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41 | std::atomic<RNG*> RNG::instance_ { nullptr }; |
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42 | std::mutex RNG::init_mutex_; |
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43 | thread_local std::unique_ptr<gsl_rng, void(*)(gsl_rng*)> RNG::rng_ |
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44 | { nullptr, gsl_rng_free}; |
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45 | |
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46 | RNG::RNG(void) |
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47 | { |
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48 | // support rng/seed changes through environment vars |
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49 | if (!gsl_rng_env_setup()) |
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50 | throw utility::GSL_error("RNG::RNG unknown generator"); |
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51 | seed_ = gsl_rng_default_seed; |
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52 | // let's allocate already here, just to behave as yat 0.8 |
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53 | rng_alloc(); |
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54 | } |
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55 | |
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56 | |
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57 | RNG::~RNG(void) |
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58 | { |
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59 | } |
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60 | |
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61 | |
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62 | RNG* RNG::instance(void) |
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63 | { |
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64 | if (instance_==NULL) { |
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65 | std::unique_lock<std::mutex> lock(init_mutex_); |
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66 | if (instance_==NULL) |
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67 | instance_ = new RNG; |
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68 | } |
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69 | return instance_; |
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70 | } |
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71 | |
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72 | |
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73 | unsigned long RNG::max(void) const |
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74 | { |
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75 | return gsl_rng_max(rng()); |
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76 | } |
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77 | |
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78 | |
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79 | unsigned long RNG::min(void) const |
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80 | { |
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81 | return gsl_rng_min(rng()); |
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82 | } |
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83 | |
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84 | |
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85 | std::string RNG::name(void) const |
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86 | { |
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87 | return gsl_rng_name(rng()); |
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88 | } |
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89 | |
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90 | |
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91 | const gsl_rng* RNG::rng(void) const |
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92 | { |
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93 | if (rng_.get()==NULL) |
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94 | rng_alloc(); |
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95 | return rng_.get(); |
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96 | } |
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97 | |
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98 | |
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99 | void RNG::rng_alloc(void) const |
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100 | { |
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101 | assert(rng_.get()==NULL); |
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102 | gsl_rng* rng = gsl_rng_alloc(gsl_rng_default); |
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103 | if (!rng) |
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104 | throw utility::GSL_error("RNG failed to allocate memory"); |
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105 | std::unique_lock<std::mutex> lock(mutex_); |
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106 | gsl_rng_set(rng, seed_); |
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107 | // bump seed to avoid subsequent gsl_rng to be identical |
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108 | ++seed_; |
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109 | // rng_ owns rng and takes care of deallocation |
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110 | rng_.reset(rng); |
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111 | } // lock is released here |
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112 | |
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113 | |
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114 | void RNG::seed(unsigned long s) const |
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115 | { |
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116 | std::unique_lock<std::mutex> lock(mutex_); |
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117 | gsl_rng_set(rng(),s); |
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118 | seed_ = s+1; |
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119 | } // lock is released here |
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120 | |
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121 | |
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122 | unsigned long RNG::seed_from_devurandom(void) |
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123 | { |
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124 | std::ifstream is("/dev/urandom", std::ios::binary); |
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125 | unsigned long s=0; |
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126 | utility::binary_read(is, s); |
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127 | is.close(); |
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128 | seed(s); |
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129 | return s; |
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130 | } |
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131 | |
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132 | |
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133 | int RNG::set_state(const RNG_state& state) |
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134 | { |
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135 | if (rng_.get()==NULL) |
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136 | rng_alloc(); |
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137 | if (gsl_rng_memcpy(rng_.get(), state.rng())) |
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138 | throw utility::GSL_error("yat::random::RNG::set_state failed"); |
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139 | return 0; |
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140 | } |
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141 | |
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142 | // --------------------- RNG_state ---------------------------------- |
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143 | |
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144 | RNG_state::RNG_state(const RNG* rng) |
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145 | { |
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146 | clone(*rng->rng()); |
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147 | } |
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148 | |
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149 | |
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150 | RNG_state::RNG_state(const RNG_state& state) |
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151 | { |
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152 | clone(*state.rng()); |
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153 | } |
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154 | |
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155 | |
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156 | RNG_state::~RNG_state(void) |
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157 | { |
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158 | gsl_rng_free(rng_); |
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159 | rng_=NULL; |
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160 | } |
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161 | |
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162 | const gsl_rng* RNG_state::rng(void) const |
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163 | { |
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164 | return rng_; |
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165 | } |
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166 | |
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167 | |
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168 | void RNG_state::clone(const gsl_rng& rng) |
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169 | { |
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170 | assert(rng_!=&rng); |
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171 | if (!(rng_ = gsl_rng_clone(&rng))) |
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172 | throw utility::GSL_error("RNG_state::clone failed to allocate memory"); |
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173 | } |
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174 | |
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175 | RNG_state& RNG_state::operator=(const RNG_state& rhs) |
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176 | { |
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177 | if (this != &rhs) { |
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178 | gsl_rng_free(rng_); |
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179 | clone(*rhs.rng()); |
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180 | } |
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181 | return *this; |
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182 | } |
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183 | |
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184 | // --------------------- Discrete distribtuions --------------------- |
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185 | |
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186 | Discrete::Discrete(void) |
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187 | : rng_(RNG::instance()) |
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188 | { |
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189 | } |
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190 | |
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191 | |
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192 | Discrete::~Discrete(void) |
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193 | { |
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194 | } |
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195 | |
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196 | |
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197 | void Discrete::seed(unsigned long s) const |
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198 | { |
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199 | rng_->seed(s); |
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200 | } |
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201 | |
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202 | |
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203 | unsigned long Discrete::seed_from_devurandom(void) |
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204 | { |
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205 | return rng_->seed_from_devurandom(); |
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206 | } |
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207 | |
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208 | |
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209 | Binomial::Binomial(double p, unsigned int n) |
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210 | : Discrete(), p_(p), n_(n) |
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211 | { |
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212 | } |
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213 | |
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214 | |
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215 | unsigned long Binomial::operator()(void) const |
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216 | { |
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217 | return gsl_ran_binomial(rng_->rng(), p_, n_); |
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218 | } |
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219 | |
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220 | |
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221 | DiscreteGeneral::DiscreteGeneral(void) |
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222 | : gen_(nullptr) |
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223 | {} |
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224 | |
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225 | |
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226 | DiscreteGeneral::DiscreteGeneral(const statistics::Histogram& hist) |
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227 | : gen_(NULL) |
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228 | { |
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229 | p_.reserve(hist.nof_bins()); |
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230 | for (size_t i=0; i<hist.nof_bins(); i++) |
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231 | p_.push_back(hist[i]); |
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232 | preproc(); |
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233 | } |
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234 | |
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235 | |
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236 | DiscreteGeneral::DiscreteGeneral(const DiscreteGeneral& other) |
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237 | : Discrete(other), gen_(NULL), p_(other.p_) |
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238 | { |
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239 | preproc(); |
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240 | } |
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241 | |
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242 | |
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243 | DiscreteGeneral::DiscreteGeneral(DiscreteGeneral&& other) |
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244 | : Discrete(std::move(other)), gen_(nullptr), p_(std::move(other.p_)) |
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245 | { |
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246 | gen_ = std::move(other.gen_); |
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247 | } |
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248 | |
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249 | |
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250 | DiscreteGeneral::~DiscreteGeneral(void) |
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251 | { |
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252 | free(); |
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253 | } |
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254 | |
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255 | |
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256 | void DiscreteGeneral::free(void) |
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257 | { |
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258 | if (gen_) |
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259 | gsl_ran_discrete_free( gen_ ); |
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260 | gen_ = NULL; |
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261 | } |
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262 | |
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263 | |
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264 | void DiscreteGeneral::preproc(void) |
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265 | { |
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266 | assert(!gen_); |
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267 | assert(p_.size()); |
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268 | gen_ = gsl_ran_discrete_preproc( p_.size(), &p_.front() ); |
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269 | if (!gen_) |
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270 | throw utility::GSL_error("DiscreteGeneral failed to setup generator."); |
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271 | } |
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272 | |
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273 | |
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274 | DiscreteGeneral& DiscreteGeneral::operator=(const DiscreteGeneral& rhs) |
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275 | { |
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276 | DiscreteGeneral tmp(rhs); |
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277 | swap(*this, tmp); |
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278 | return *this; |
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279 | } |
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280 | |
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281 | |
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282 | DiscreteGeneral& DiscreteGeneral::operator=(DiscreteGeneral&& rhs) |
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283 | { |
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284 | DiscreteGeneral tmp(std::move(rhs)); |
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285 | swap(*this, tmp); |
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286 | return *this; |
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287 | } |
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288 | |
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289 | |
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290 | unsigned long DiscreteGeneral::operator()(void) const |
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291 | { |
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292 | return gsl_ran_discrete(rng_->rng(), gen_); |
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293 | } |
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294 | |
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295 | |
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296 | void swap(DiscreteGeneral& lhs, DiscreteGeneral& rhs) |
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297 | { |
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298 | std::swap(lhs.gen_, rhs.gen_); |
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299 | std::swap(lhs.p_, rhs.p_); |
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300 | } |
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301 | |
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302 | |
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303 | DiscreteUniform::DiscreteUniform(unsigned long n) |
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304 | : range_(n) |
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305 | { |
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306 | if (range_>rng_->max()) { |
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307 | std::ostringstream ss; |
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308 | ss << "DiscreteUniform::DiscreteUniform: "; |
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309 | ss << n << " is too large for RNG " << rng_->name(); |
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310 | ss << "; maximal argument is " << rng_->max(); |
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311 | throw utility::GSL_error(ss.str()); |
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312 | } |
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313 | } |
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314 | |
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315 | |
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316 | unsigned long DiscreteUniform::operator()(void) const |
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317 | { |
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318 | return (range_ ? |
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319 | gsl_rng_uniform_int(rng_->rng(),range_) : gsl_rng_get(rng_->rng())); |
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320 | } |
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321 | |
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322 | |
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323 | unsigned long DiscreteUniform::operator()(unsigned long n) const |
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324 | { |
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325 | // making sure that n is not larger than the range of the |
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326 | // underlying RNG |
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327 | if (n>rng_->max()) { |
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328 | std::ostringstream ss; |
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329 | ss << "DiscreteUniform::operator(unsigned long): "; |
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330 | ss << n << " is too large for RNG " << rng_->name(); |
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331 | ss << "; maximal argument is " << rng_->max(); |
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332 | throw utility::GSL_error(ss.str()); |
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333 | } |
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334 | return gsl_rng_uniform_int(rng_->rng(),n); |
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335 | } |
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336 | |
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337 | |
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338 | unsigned long int DiscreteUniform::min(void) const |
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339 | { |
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340 | return range_ ? 0 : rng_->min(); |
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341 | } |
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342 | |
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343 | |
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344 | unsigned long int DiscreteUniform::max(void) const |
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345 | { |
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346 | return range_ ? (range_-1) : rng_->max(); |
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347 | } |
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348 | |
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349 | |
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350 | Geometric::Geometric(double p) |
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351 | : p_(p) |
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352 | {} |
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353 | |
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354 | |
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355 | unsigned long int Geometric::operator()(void) const |
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356 | { |
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357 | return gsl_ran_geometric (rng_->rng(), p_); |
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358 | } |
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359 | |
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360 | |
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361 | unsigned long int Geometric::operator()(double p) const |
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362 | { |
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363 | return gsl_ran_geometric (rng_->rng(), p); |
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364 | } |
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365 | |
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366 | |
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367 | HyperGeometric::HyperGeometric(void) |
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368 | {} |
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369 | |
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370 | |
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371 | HyperGeometric::HyperGeometric(unsigned int n1, unsigned int n2, |
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372 | unsigned int t) |
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373 | : n1_(n1), n2_(n2), t_(t) |
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374 | {} |
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375 | |
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376 | |
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377 | unsigned long int HyperGeometric::operator()(void) const |
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378 | { |
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379 | return (*this)(n1_, n2_, t_); |
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380 | } |
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381 | |
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382 | |
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383 | unsigned long int HyperGeometric::operator()(unsigned int n1, |
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384 | unsigned int n2, |
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385 | unsigned int t) const |
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386 | { |
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387 | return gsl_ran_hypergeometric(rng_->rng(), n1, n2, t); |
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388 | } |
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389 | |
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390 | |
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391 | NegativeHyperGeometric::NegativeHyperGeometric(void) |
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392 | {} |
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393 | |
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394 | |
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395 | NegativeHyperGeometric::NegativeHyperGeometric(unsigned int n1, |
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396 | unsigned int n2, unsigned int t) |
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397 | : n1_(n1), n2_(n2), t_(t) |
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398 | {} |
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399 | |
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400 | |
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401 | unsigned long int NegativeHyperGeometric::operator()(void) const |
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402 | { |
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403 | return (*this)(n1_, n2_, t_); |
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404 | } |
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405 | |
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406 | |
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407 | unsigned long int NegativeHyperGeometric::operator()(unsigned int n1, |
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408 | unsigned int n2, |
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409 | unsigned int t) const |
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410 | { |
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411 | assert(t <= n2); |
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412 | |
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413 | // NHG can be described as an array with n1 true and n2 false, and |
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414 | // NHG(n1, n2, t) is the number of true left of the t:th false. By |
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415 | // symmetry number of true right of the t:th false is NHG(n1, n2, |
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416 | // n2-t+1) since t:th false counting from left is the (n2-t+1):th |
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417 | // false counting from right. |
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418 | |
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419 | // When t is larger than midpoint (2*t > n2+1) we use this |
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420 | // symmetry to speed things up. |
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421 | if (t > (n2+1)/2) |
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422 | return n1 - (*this)(n1, n2, n2-t+1); |
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423 | |
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424 | ContinuousUniform uniform; |
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425 | unsigned long int k = 0; |
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426 | while (t) { |
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427 | assert(n1 + n2); |
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428 | double x = uniform(); |
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429 | if (x * (n1+n2) < n1) { |
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430 | --n1; |
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431 | ++k; |
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432 | if (!n1) |
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433 | return k; |
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434 | } |
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435 | else { |
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436 | --t; |
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437 | --n2; |
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438 | } |
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439 | } |
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440 | return k; |
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441 | } |
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442 | |
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443 | |
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444 | Poisson::Poisson(const double m) |
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445 | : m_(m) |
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446 | { |
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447 | } |
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448 | |
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449 | unsigned long Poisson::operator()(void) const |
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450 | { |
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451 | return gsl_ran_poisson(rng_->rng(), m_); |
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452 | } |
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453 | |
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454 | |
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455 | unsigned long Poisson::operator()(const double m) const |
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456 | { |
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457 | return gsl_ran_poisson(rng_->rng(), m); |
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458 | } |
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459 | |
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460 | // --------------------- Continuous distribtuions --------------------- |
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461 | |
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462 | Continuous::Continuous(void) |
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463 | : rng_(RNG::instance()) |
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464 | { |
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465 | } |
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466 | |
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467 | |
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468 | Continuous::~Continuous(void) |
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469 | { |
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470 | } |
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471 | |
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472 | |
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473 | void Continuous::seed(unsigned long s) const |
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474 | { |
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475 | rng_->seed(s); |
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476 | } |
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477 | |
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478 | |
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479 | unsigned long Continuous::seed_from_devurandom(void) |
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480 | { |
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481 | return rng_->seed_from_devurandom(); |
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482 | } |
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483 | |
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484 | |
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485 | ContinuousGeneral::ContinuousGeneral(const statistics::Histogram& hist) |
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486 | : discrete_(DiscreteGeneral(hist)), hist_(hist) |
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487 | { |
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488 | } |
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489 | |
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490 | |
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491 | double ContinuousGeneral::operator()(void) const |
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492 | { |
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493 | return hist_.observation_value(discrete_())+(u_()-0.5)*hist_.spacing(); |
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494 | } |
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495 | |
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496 | double ContinuousUniform::operator()(void) const |
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497 | { |
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498 | return gsl_rng_uniform(rng_->rng()); |
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499 | } |
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500 | |
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501 | |
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502 | Exponential::Exponential(const double m) |
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503 | : m_(m) |
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504 | { |
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505 | } |
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506 | |
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507 | |
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508 | double Exponential::operator()(void) const |
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509 | { |
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510 | return gsl_ran_exponential(rng_->rng(), m_); |
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511 | } |
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512 | |
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513 | |
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514 | double Exponential::operator()(const double m) const |
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515 | { |
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516 | return gsl_ran_exponential(rng_->rng(), m); |
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517 | } |
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518 | |
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519 | |
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520 | Gaussian::Gaussian(const double s, const double m) |
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521 | : m_(m), s_(s) |
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522 | { |
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523 | } |
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524 | |
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525 | |
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526 | double Gaussian::operator()(void) const |
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527 | { |
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528 | return gsl_ran_gaussian(rng_->rng(), s_)+m_; |
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529 | } |
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530 | |
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531 | |
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532 | double Gaussian::operator()(const double s) const |
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533 | { |
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534 | return gsl_ran_gaussian(rng_->rng(), s); |
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535 | } |
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536 | |
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537 | |
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538 | double Gaussian::operator()(const double s, const double m) const |
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539 | { |
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540 | return gsl_ran_gaussian(rng_->rng(), s)+m; |
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541 | } |
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542 | |
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543 | }}} // of namespace random, yat, and theplu |
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