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293 lines
9.0 KiB
C++
293 lines
9.0 KiB
C++
/* boost random/gamma_distribution.hpp header file
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*
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* Copyright Jens Maurer 2002
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* Copyright Steven Watanabe 2010
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* Distributed under the Boost Software License, Version 1.0. (See
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* accompanying file LICENSE_1_0.txt or copy at
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* http://www.boost.org/LICENSE_1_0.txt)
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*
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* See http://www.boost.org for most recent version including documentation.
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*
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* $Id$
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*
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*/
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#ifndef BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP
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#define BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP
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#include <boost/config/no_tr1/cmath.hpp>
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#include <istream>
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#include <iosfwd>
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#include <boost/assert.hpp>
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#include <boost/limits.hpp>
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#include <boost/static_assert.hpp>
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#include <boost/random/detail/config.hpp>
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#include <boost/random/exponential_distribution.hpp>
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namespace boost {
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namespace random {
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// The algorithm is taken from Knuth
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/**
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* The gamma distribution is a continuous distribution with two
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* parameters alpha and beta. It produces values > 0.
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*
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* It has
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* \f$\displaystyle p(x) = x^{\alpha-1}\frac{e^{-x/\beta}}{\beta^\alpha\Gamma(\alpha)}\f$.
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*/
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template<class RealType = double>
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class gamma_distribution
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{
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public:
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typedef RealType input_type;
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typedef RealType result_type;
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class param_type
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{
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public:
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typedef gamma_distribution distribution_type;
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/**
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* Constructs a @c param_type object from the "alpha" and "beta"
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* parameters.
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*
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* Requires: alpha > 0 && beta > 0
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*/
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param_type(const RealType& alpha_arg = RealType(1.0),
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const RealType& beta_arg = RealType(1.0))
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: _alpha(alpha_arg), _beta(beta_arg)
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{
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}
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/** Returns the "alpha" parameter of the distribution. */
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RealType alpha() const { return _alpha; }
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/** Returns the "beta" parameter of the distribution. */
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RealType beta() const { return _beta; }
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#ifndef BOOST_RANDOM_NO_STREAM_OPERATORS
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/** Writes the parameters to a @c std::ostream. */
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template<class CharT, class Traits>
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friend std::basic_ostream<CharT, Traits>&
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operator<<(std::basic_ostream<CharT, Traits>& os,
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const param_type& parm)
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{
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os << parm._alpha << ' ' << parm._beta;
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return os;
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}
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/** Reads the parameters from a @c std::istream. */
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template<class CharT, class Traits>
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friend std::basic_istream<CharT, Traits>&
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operator>>(std::basic_istream<CharT, Traits>& is, param_type& parm)
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{
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is >> parm._alpha >> std::ws >> parm._beta;
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return is;
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}
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#endif
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/** Returns true if the two sets of parameters are the same. */
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friend bool operator==(const param_type& lhs, const param_type& rhs)
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{
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return lhs._alpha == rhs._alpha && lhs._beta == rhs._beta;
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}
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/** Returns true if the two sets fo parameters are different. */
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friend bool operator!=(const param_type& lhs, const param_type& rhs)
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{
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return !(lhs == rhs);
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}
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private:
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RealType _alpha;
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RealType _beta;
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};
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#ifndef BOOST_NO_LIMITS_COMPILE_TIME_CONSTANTS
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BOOST_STATIC_ASSERT(!std::numeric_limits<RealType>::is_integer);
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#endif
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/**
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* Creates a new gamma_distribution with parameters "alpha" and "beta".
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*
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* Requires: alpha > 0 && beta > 0
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*/
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explicit gamma_distribution(const result_type& alpha_arg = result_type(1.0),
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const result_type& beta_arg = result_type(1.0))
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: _exp(result_type(1)), _alpha(alpha_arg), _beta(beta_arg)
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{
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BOOST_ASSERT(_alpha > result_type(0));
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BOOST_ASSERT(_beta > result_type(0));
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init();
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}
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/** Constructs a @c gamma_distribution from its parameters. */
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explicit gamma_distribution(const param_type& parm)
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: _exp(result_type(1)), _alpha(parm.alpha()), _beta(parm.beta())
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{
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init();
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}
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// compiler-generated copy ctor and assignment operator are fine
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/** Returns the "alpha" paramter of the distribution. */
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RealType alpha() const { return _alpha; }
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/** Returns the "beta" parameter of the distribution. */
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RealType beta() const { return _beta; }
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/** Returns the smallest value that the distribution can produce. */
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RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const { return 0; }
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/* Returns the largest value that the distribution can produce. */
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RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const
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{ return (std::numeric_limits<RealType>::infinity)(); }
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/** Returns the parameters of the distribution. */
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param_type param() const { return param_type(_alpha, _beta); }
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/** Sets the parameters of the distribution. */
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void param(const param_type& parm)
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{
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_alpha = parm.alpha();
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_beta = parm.beta();
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init();
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}
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/**
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* Effects: Subsequent uses of the distribution do not depend
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* on values produced by any engine prior to invoking reset.
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*/
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void reset() { _exp.reset(); }
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/**
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* Returns a random variate distributed according to
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* the gamma distribution.
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*/
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template<class Engine>
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result_type operator()(Engine& eng)
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{
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#ifndef BOOST_NO_STDC_NAMESPACE
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// allow for Koenig lookup
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using std::tan; using std::sqrt; using std::exp; using std::log;
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using std::pow;
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#endif
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if(_alpha == result_type(1)) {
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return _exp(eng) * _beta;
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} else if(_alpha > result_type(1)) {
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// Can we have a boost::mathconst please?
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const result_type pi = result_type(3.14159265358979323846);
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for(;;) {
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result_type y = tan(pi * uniform_01<RealType>()(eng));
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result_type x = sqrt(result_type(2)*_alpha-result_type(1))*y
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+ _alpha-result_type(1);
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if(x <= result_type(0))
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continue;
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if(uniform_01<RealType>()(eng) >
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(result_type(1)+y*y) * exp((_alpha-result_type(1))
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*log(x/(_alpha-result_type(1)))
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- sqrt(result_type(2)*_alpha
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-result_type(1))*y))
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continue;
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return x * _beta;
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}
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} else /* alpha < 1.0 */ {
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for(;;) {
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result_type u = uniform_01<RealType>()(eng);
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result_type y = _exp(eng);
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result_type x, q;
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if(u < _p) {
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x = exp(-y/_alpha);
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q = _p*exp(-x);
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} else {
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x = result_type(1)+y;
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q = _p + (result_type(1)-_p) * pow(x,_alpha-result_type(1));
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}
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if(u >= q)
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continue;
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return x * _beta;
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}
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}
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}
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template<class URNG>
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RealType operator()(URNG& urng, const param_type& parm) const
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{
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return gamma_distribution(parm)(urng);
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}
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#ifndef BOOST_RANDOM_NO_STREAM_OPERATORS
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/** Writes a @c gamma_distribution to a @c std::ostream. */
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template<class CharT, class Traits>
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friend std::basic_ostream<CharT,Traits>&
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operator<<(std::basic_ostream<CharT,Traits>& os,
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const gamma_distribution& gd)
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{
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os << gd.param();
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return os;
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}
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/** Reads a @c gamma_distribution from a @c std::istream. */
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template<class CharT, class Traits>
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friend std::basic_istream<CharT,Traits>&
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operator>>(std::basic_istream<CharT,Traits>& is, gamma_distribution& gd)
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{
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gd.read(is);
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return is;
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}
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#endif
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/**
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* Returns true if the two distributions will produce identical
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* sequences of random variates given equal generators.
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*/
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friend bool operator==(const gamma_distribution& lhs,
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const gamma_distribution& rhs)
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{
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return lhs._alpha == rhs._alpha
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&& lhs._beta == rhs._beta
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&& lhs._exp == rhs._exp;
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}
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/**
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* Returns true if the two distributions can produce different
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* sequences of random variates, given equal generators.
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*/
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friend bool operator!=(const gamma_distribution& lhs,
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const gamma_distribution& rhs)
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{
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return !(lhs == rhs);
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}
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private:
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/// \cond hide_private_members
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template<class CharT, class Traits>
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void read(std::basic_istream<CharT, Traits>& is)
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{
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param_type parm;
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if(is >> parm) {
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param(parm);
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}
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}
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void init()
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{
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#ifndef BOOST_NO_STDC_NAMESPACE
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// allow for Koenig lookup
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using std::exp;
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#endif
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_p = exp(result_type(1)) / (_alpha + exp(result_type(1)));
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}
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/// \endcond
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exponential_distribution<RealType> _exp;
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result_type _alpha;
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result_type _beta;
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// some data precomputed from the parameters
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result_type _p;
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};
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} // namespace random
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using random::gamma_distribution;
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} // namespace boost
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#endif // BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP
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