random_variable 0.0.1.pre
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- data/lib/ext/com.c +373 -0
- data/lib/ext/extconf.rb +7 -0
- data/lib/ext/linpack.c +91 -0
- data/lib/ext/randlib.c +2162 -0
- data/lib/ext/randlib.h +38 -0
- data/lib/ext/random_variable.c +414 -0
- data/lib/ext/xrandlib.c +28 -0
- data/lib/ext/xrandlib.h +22 -0
- data/lib/random_variable.rb +76 -0
- data/lib/test/test_poisson_rv.rb +33 -0
- data/lib/test.rb +8 -0
- metadata +57 -0
data/lib/ext/randlib.c
ADDED
@@ -0,0 +1,2162 @@
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#include "randlib.h"
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#include <stdio.h>
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#include <math.h>
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#include <stdlib.h>
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#define ABS(x) ((x) >= 0 ? (x) : -(x))
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#define min(a,b) ((a) <= (b) ? (a) : (b))
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#define max(a,b) ((a) >= (b) ? (a) : (b))
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void ftnstop(const char*);
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double genbet(double aa,double bb)
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/*
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**********************************************************************
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double genbet(double aa,double bb)
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GeNerate BETa random deviate
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Function
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Returns a single random deviate from the beta distribution with
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parameters A and B. The density of the beta is
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x^(a-1) * (1-x)^(b-1) / B(a,b) for 0 < x < 1
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Arguments
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aa --> First parameter of the beta distribution
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bb --> Second parameter of the beta distribution
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Method
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R. C. H. Cheng
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Generating Beta Variates with Nonintegral Shape Parameters
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Communications of the ACM, 21:317-322 (1978)
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(Algorithms BB and BC)
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**********************************************************************
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*/
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{
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/* JJV changed expmax (log(1.0E38)==87.49823), and added minlog */
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#define expmax 87.4982335337737
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#define infnty 1.0E38
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#define minlog 1.0E-37
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static double olda = -1.0E37;
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static double oldb = -1.0E37;
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static double genbet,a,alpha,b,beta,delta,gamma,k1,k2,r,s,t,u1,u2,v,w,y,z;
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static long qsame;
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qsame = olda == aa && oldb == bb;
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if(qsame) goto S20;
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if(!(aa < minlog || bb < minlog)) goto S10;
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fputs(" AA or BB < 1.0E-37 in GENBET - Abort!\n",stderr);
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fprintf(stderr," AA: %16.6E BB %16.6E\n",aa,bb);
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exit(1);
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S10:
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olda = aa;
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oldb = bb;
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S20:
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if(!(min(aa,bb) > 1.0)) goto S100;
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/*
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Algorithm BB
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Initialize
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*/
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if(qsame) goto S30;
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a = min(aa,bb);
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b = max(aa,bb);
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alpha = a+b;
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beta = sqrt((alpha-2.0)/(2.0*a*b-alpha));
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gamma = a+1.0/beta;
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S30:
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u1 = ranf();
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/*
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Step 1
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*/
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u2 = ranf();
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v = beta*log(u1/(1.0-u1));
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/* JJV altered this */
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if(v > expmax) goto S55;
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/*
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* JJV added checker to see if a*exp(v) will overflow
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* JJV S50 _was_ w = a*exp(v); also note here a > 1.0
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*/
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w = exp(v);
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if(w > infnty/a) goto S55;
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w *= a;
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goto S60;
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S55:
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w = infnty;
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S60:
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z = pow(u1,2.0)*u2;
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r = gamma*v-1.38629436111989;
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s = a+r-w;
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/*
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Step 2
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*/
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if(s+2.60943791243410 >= 5.0*z) goto S70;
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/*
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Step 3
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*/
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t = log(z);
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if(s > t) goto S70;
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/*
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* Step 4
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*
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* JJV added checker to see if log(alpha/(b+w)) will
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* JJV overflow. If so, we count the log as -INF, and
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* JJV consequently evaluate conditional as true, i.e.
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* JJV the algorithm rejects the trial and starts over
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* JJV May not need this here since alpha > 2.0
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*/
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if(alpha/(b+w) < minlog) goto S30;
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if(r+alpha*log(alpha/(b+w)) < t) goto S30;
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S70:
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/*
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Step 5
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*/
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if(aa == a) {
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genbet = w/(b+w);
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} else {
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genbet = b/(b+w);
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}
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goto S230;
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S100:
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/*
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Algorithm BC
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Initialize
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*/
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if(qsame) goto S110;
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a = max(aa,bb);
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b = min(aa,bb);
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alpha = a+b;
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beta = 1.0/b;
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delta = 1.0+a-b;
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k1 = delta*(1.38888888888889E-2+4.16666666666667E-2*b) /
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(a*beta-0.777777777777778);
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k2 = 0.25+(0.5+0.25/delta)*b;
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S110:
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S120:
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u1 = ranf();
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/*
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Step 1
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*/
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u2 = ranf();
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if(u1 >= 0.5) goto S130;
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/*
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Step 2
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*/
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y = u1*u2;
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z = u1*y;
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if(0.25*u2+z-y >= k1) goto S120;
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goto S170;
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S130:
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/*
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Step 3
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*/
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z = pow(u1,2.0)*u2;
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if(!(z <= 0.25)) goto S160;
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v = beta*log(u1/(1.0-u1));
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/*
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* JJV instead of checking v > expmax at top, I will check
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* JJV if a < 1, then check the appropriate values
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*/
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if(a > 1.0) goto S135;
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/* JJV a < 1 so it can help out if exp(v) would overflow */
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if(v > expmax) goto S132;
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w = a*exp(v);
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goto S200;
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S132:
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w = v + log(a);
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if(w > expmax) goto S140;
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w = exp(w);
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goto S200;
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S135:
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/* JJV in this case a > 1 */
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if(v > expmax) goto S140;
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w = exp(v);
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if(w > infnty/a) goto S140;
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w *= a;
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goto S200;
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S140:
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w = infnty;
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goto S200;
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/*
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* JJV old code
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* if(!(v > expmax)) goto S140;
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* w = infnty;
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* goto S150;
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*S140:
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* w = a*exp(v);
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*S150:
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* goto S200;
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*/
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S160:
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if(z >= k2) goto S120;
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S170:
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/*
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Step 4
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Step 5
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*/
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v = beta*log(u1/(1.0-u1));
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/* JJV same kind of checking as above */
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if(a > 1.0) goto S175;
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/* JJV a < 1 so it can help out if exp(v) would overflow */
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if(v > expmax) goto S172;
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w = a*exp(v);
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goto S190;
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S172:
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w = v + log(a);
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if(w > expmax) goto S180;
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w = exp(w);
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goto S190;
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S175:
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/* JJV in this case a > 1.0 */
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if(v > expmax) goto S180;
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w = exp(v);
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if(w > infnty/a) goto S180;
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w *= a;
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goto S190;
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S180:
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w = infnty;
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/*
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* JJV old code
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* if(!(v > expmax)) goto S180;
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* w = infnty;
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* goto S190;
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*S180:
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* w = a*exp(v);
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*/
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S190:
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/*
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* JJV here we also check to see if log overlows; if so, we treat it
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* JJV as -INF, which means condition is true, i.e. restart
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*/
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if(alpha/(b+w) < minlog) goto S120;
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227
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if(alpha*(log(alpha/(b+w))+v)-1.38629436111989 < log(z)) goto S120;
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228
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S200:
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229
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/*
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230
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Step 6
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231
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*/
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232
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if(a == aa) {
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233
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genbet = w/(b+w);
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234
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} else {
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235
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genbet = b/(b+w);
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236
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}
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S230:
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238
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return genbet;
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#undef expmax
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240
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+
#undef infnty
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241
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+
#undef minlog
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242
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}
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243
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+
|
244
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double genchi(double df)
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245
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/*
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246
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**********************************************************************
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247
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double genchi(double df)
|
248
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Generate random value of CHIsquare variable
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249
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Function
|
250
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+
Generates random deviate from the distribution of a chisquare
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251
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with DF degrees of freedom random variable.
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252
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Arguments
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253
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+
df --> Degrees of freedom of the chisquare
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254
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(Must be positive)
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255
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+
|
256
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+
Method
|
257
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Uses relation between chisquare and gamma.
|
258
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**********************************************************************
|
259
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+
*/
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260
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{
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261
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+
static double genchi;
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262
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+
|
263
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+
if(!(df <= 0.0)) goto S10;
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264
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fputs(" DF <= 0 in GENCHI - ABORT\n",stderr);
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265
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fprintf(stderr," Value of DF: %16.6E\n",df);
|
266
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exit(1);
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267
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+
S10:
|
268
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+
/*
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269
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+
* JJV changed the code to call SGAMMA directly
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270
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+
* genchi = 2.0*gengam(1.0,df/2.0); <- OLD
|
271
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+
*/
|
272
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+
genchi = 2.0*sgamma(df/2.0);
|
273
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+
return genchi;
|
274
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+
}
|
275
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+
|
276
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+
double genexp(double av)
|
277
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+
/*
|
278
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+
**********************************************************************
|
279
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+
double genexp(double av)
|
280
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+
GENerate EXPonential random deviate
|
281
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+
Function
|
282
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+
Generates a single random deviate from an exponential
|
283
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+
distribution with mean AV.
|
284
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+
Arguments
|
285
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+
av --> The mean of the exponential distribution from which
|
286
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+
a random deviate is to be generated.
|
287
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+
JJV (av >= 0)
|
288
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+
Method
|
289
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+
Renames SEXPO from TOMS as slightly modified by BWB to use RANF
|
290
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+
instead of SUNIF.
|
291
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+
For details see:
|
292
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+
Ahrens, J.H. and Dieter, U.
|
293
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+
Computer Methods for Sampling From the
|
294
|
+
Exponential and Normal Distributions.
|
295
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+
Comm. ACM, 15,10 (Oct. 1972), 873 - 882.
|
296
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+
**********************************************************************
|
297
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+
*/
|
298
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+
{
|
299
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+
static double genexp;
|
300
|
+
|
301
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+
/* JJV added check that av >= 0 */
|
302
|
+
if(av >= 0.0) goto S10;
|
303
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+
fputs(" AV < 0 in GENEXP - ABORT\n",stderr);
|
304
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+
fprintf(stderr," Value of AV: %16.6E\n",av);
|
305
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+
exit(1);
|
306
|
+
S10:
|
307
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+
genexp = sexpo()*av;
|
308
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+
return genexp;
|
309
|
+
}
|
310
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+
|
311
|
+
double genf(double dfn,double dfd)
|
312
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+
/*
|
313
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+
**********************************************************************
|
314
|
+
double genf(double dfn,double dfd)
|
315
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+
GENerate random deviate from the F distribution
|
316
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+
Function
|
317
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+
Generates a random deviate from the F (variance ratio)
|
318
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+
distribution with DFN degrees of freedom in the numerator
|
319
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+
and DFD degrees of freedom in the denominator.
|
320
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+
Arguments
|
321
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+
dfn --> Numerator degrees of freedom
|
322
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+
(Must be positive)
|
323
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+
dfd --> Denominator degrees of freedom
|
324
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+
(Must be positive)
|
325
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+
Method
|
326
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+
Directly generates ratio of chisquare variates
|
327
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+
**********************************************************************
|
328
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+
*/
|
329
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+
{
|
330
|
+
static double genf,xden,xnum;
|
331
|
+
|
332
|
+
if(!(dfn <= 0.0 || dfd <= 0.0)) goto S10;
|
333
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+
fputs(" Degrees of freedom nonpositive in GENF - abort!\n",stderr);
|
334
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+
fprintf(stderr," DFN value: %16.6E DFD value: %16.6E\n",dfn,dfd);
|
335
|
+
exit(1);
|
336
|
+
S10:
|
337
|
+
/*
|
338
|
+
* JJV changed this to call SGAMMA directly
|
339
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+
*
|
340
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+
* GENF = ( GENCHI( DFN ) / DFN ) / ( GENCHI( DFD ) / DFD )
|
341
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+
* xnum = genchi(dfn)/dfn; <- OLD
|
342
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+
* xden = genchi(dfd)/dfd; <- OLD
|
343
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+
*/
|
344
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+
xnum = 2.0*sgamma(dfn/2.0)/dfn;
|
345
|
+
xden = 2.0*sgamma(dfd/2.0)/dfd;
|
346
|
+
/*
|
347
|
+
* JJV changed constant to prevent underflow at compile time.
|
348
|
+
* if(!(xden <= 9.999999999998E-39*xnum)) goto S20;
|
349
|
+
*/
|
350
|
+
if(!(xden <= 1.0E-37*xnum)) goto S20;
|
351
|
+
fputs(" GENF - generated numbers would cause overflow\n",stderr);
|
352
|
+
fprintf(stderr," Numerator %16.6E Denominator %16.6E\n",xnum,xden);
|
353
|
+
/*
|
354
|
+
* JJV changed next 2 lines to reflect constant change above in the
|
355
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+
* JJV truncated value returned.
|
356
|
+
* fputs(" GENF returning 1.0E38\n",stderr);
|
357
|
+
* genf = 1.0E38;
|
358
|
+
*/
|
359
|
+
fputs(" GENF returning 1.0E37\n",stderr);
|
360
|
+
genf = 1.0E37;
|
361
|
+
goto S30;
|
362
|
+
S20:
|
363
|
+
genf = xnum/xden;
|
364
|
+
S30:
|
365
|
+
return genf;
|
366
|
+
}
|
367
|
+
|
368
|
+
double gengam(double a,double r)
|
369
|
+
/*
|
370
|
+
**********************************************************************
|
371
|
+
double gengam(double a,double r)
|
372
|
+
GENerates random deviates from GAMma distribution
|
373
|
+
Function
|
374
|
+
Generates random deviates from the gamma distribution whose
|
375
|
+
density is
|
376
|
+
(A**R)/Gamma(R) * X**(R-1) * Exp(-A*X)
|
377
|
+
Arguments
|
378
|
+
a --> Location parameter of Gamma distribution
|
379
|
+
JJV (a > 0)
|
380
|
+
r --> Shape parameter of Gamma distribution
|
381
|
+
JJV (r > 0)
|
382
|
+
Method
|
383
|
+
Renames SGAMMA from TOMS as slightly modified by BWB to use RANF
|
384
|
+
instead of SUNIF.
|
385
|
+
For details see:
|
386
|
+
(Case R >= 1.0)
|
387
|
+
Ahrens, J.H. and Dieter, U.
|
388
|
+
Generating Gamma Variates by a
|
389
|
+
Modified Rejection Technique.
|
390
|
+
Comm. ACM, 25,1 (Jan. 1982), 47 - 54.
|
391
|
+
Algorithm GD
|
392
|
+
JJV altered following to reflect argument ranges
|
393
|
+
(Case 0.0 < R < 1.0)
|
394
|
+
Ahrens, J.H. and Dieter, U.
|
395
|
+
Computer Methods for Sampling from Gamma,
|
396
|
+
Beta, Poisson and Binomial Distributions.
|
397
|
+
Computing, 12 (1974), 223-246/
|
398
|
+
Adapted algorithm GS.
|
399
|
+
**********************************************************************
|
400
|
+
*/
|
401
|
+
{
|
402
|
+
static double gengam;
|
403
|
+
/* JJV added argument checker */
|
404
|
+
if(a > 0.0 && r > 0.0) goto S10;
|
405
|
+
fputs(" A or R nonpositive in GENGAM - abort!\n",stderr);
|
406
|
+
fprintf(stderr," A value: %16.6E R value: %16.6E\n",a,r);
|
407
|
+
exit(1);
|
408
|
+
S10:
|
409
|
+
gengam = sgamma(r);
|
410
|
+
gengam /= a;
|
411
|
+
return gengam;
|
412
|
+
}
|
413
|
+
|
414
|
+
void genmn(double *parm,double *x,double *work)
|
415
|
+
/*
|
416
|
+
**********************************************************************
|
417
|
+
void genmn(double *parm,double *x,double *work)
|
418
|
+
GENerate Multivariate Normal random deviate
|
419
|
+
Arguments
|
420
|
+
parm --> Parameters needed to generate multivariate normal
|
421
|
+
deviates (MEANV and Cholesky decomposition of
|
422
|
+
COVM). Set by a previous call to SETGMN.
|
423
|
+
1 : 1 - size of deviate, P
|
424
|
+
2 : P + 1 - mean vector
|
425
|
+
P+2 : P*(P+3)/2 + 1 - upper half of cholesky
|
426
|
+
decomposition of cov matrix
|
427
|
+
x <-- Vector deviate generated.
|
428
|
+
work <--> Scratch array
|
429
|
+
Method
|
430
|
+
1) Generate P independent standard normal deviates - Ei ~ N(0,1)
|
431
|
+
2) Using Cholesky decomposition find A s.t. trans(A)*A = COVM
|
432
|
+
3) trans(A)E + MEANV ~ N(MEANV,COVM)
|
433
|
+
**********************************************************************
|
434
|
+
*/
|
435
|
+
{
|
436
|
+
static long i,icount,j,p,D1,D2,D3,D4;
|
437
|
+
static double ae;
|
438
|
+
|
439
|
+
p = (long) (*parm);
|
440
|
+
/*
|
441
|
+
Generate P independent normal deviates - WORK ~ N(0,1)
|
442
|
+
*/
|
443
|
+
for(i=1; i<=p; i++) *(work+i-1) = snorm();
|
444
|
+
for(i=1,D3=1,D4=(p-i+D3)/D3; D4>0; D4--,i+=D3) {
|
445
|
+
/*
|
446
|
+
PARM (P+2 : P*(P+3)/2 + 1) contains A, the Cholesky
|
447
|
+
decomposition of the desired covariance matrix.
|
448
|
+
trans(A)(1,1) = PARM(P+2)
|
449
|
+
trans(A)(2,1) = PARM(P+3)
|
450
|
+
trans(A)(2,2) = PARM(P+2+P)
|
451
|
+
trans(A)(3,1) = PARM(P+4)
|
452
|
+
trans(A)(3,2) = PARM(P+3+P)
|
453
|
+
trans(A)(3,3) = PARM(P+2-1+2P) ...
|
454
|
+
trans(A)*WORK + MEANV ~ N(MEANV,COVM)
|
455
|
+
*/
|
456
|
+
icount = 0;
|
457
|
+
ae = 0.0;
|
458
|
+
for(j=1,D1=1,D2=(i-j+D1)/D1; D2>0; D2--,j+=D1) {
|
459
|
+
icount += (j-1);
|
460
|
+
ae += (*(parm+i+(j-1)*p-icount+p)**(work+j-1));
|
461
|
+
}
|
462
|
+
*(x+i-1) = ae+*(parm+i);
|
463
|
+
}
|
464
|
+
}
|
465
|
+
|
466
|
+
void genmul(long n,double *p,long ncat,long *ix)
|
467
|
+
/*
|
468
|
+
**********************************************************************
|
469
|
+
|
470
|
+
void genmul(int n,double *p,int ncat,int *ix)
|
471
|
+
GENerate an observation from the MULtinomial distribution
|
472
|
+
Arguments
|
473
|
+
N --> Number of events that will be classified into one of
|
474
|
+
the categories 1..NCAT
|
475
|
+
P --> Vector of probabilities. P(i) is the probability that
|
476
|
+
an event will be classified into category i. Thus, P(i)
|
477
|
+
must be [0,1]. Only the first NCAT-1 P(i) must be defined
|
478
|
+
since P(NCAT) is 1.0 minus the sum of the first
|
479
|
+
NCAT-1 P(i).
|
480
|
+
NCAT --> Number of categories. Length of P and IX.
|
481
|
+
IX <-- Observation from multinomial distribution. All IX(i)
|
482
|
+
will be nonnegative and their sum will be N.
|
483
|
+
Method
|
484
|
+
Algorithm from page 559 of
|
485
|
+
|
486
|
+
Devroye, Luc
|
487
|
+
|
488
|
+
Non-Uniform Random Variate Generation. Springer-Verlag,
|
489
|
+
New York, 1986.
|
490
|
+
|
491
|
+
**********************************************************************
|
492
|
+
*/
|
493
|
+
{
|
494
|
+
static double prob,ptot,sum;
|
495
|
+
static long i,icat,ntot;
|
496
|
+
if(n < 0) ftnstop("N < 0 in GENMUL");
|
497
|
+
if(ncat <= 1) ftnstop("NCAT <= 1 in GENMUL");
|
498
|
+
ptot = 0.0F;
|
499
|
+
for(i=0; i<ncat-1; i++) {
|
500
|
+
if(*(p+i) < 0.0F) ftnstop("Some P(i) < 0 in GENMUL");
|
501
|
+
if(*(p+i) > 1.0F) ftnstop("Some P(i) > 1 in GENMUL");
|
502
|
+
ptot += *(p+i);
|
503
|
+
}
|
504
|
+
if(ptot > 0.99999F) ftnstop("Sum of P(i) > 1 in GENMUL");
|
505
|
+
/*
|
506
|
+
Initialize variables
|
507
|
+
*/
|
508
|
+
ntot = n;
|
509
|
+
sum = 1.0F;
|
510
|
+
for(i=0; i<ncat; i++) ix[i] = 0;
|
511
|
+
/*
|
512
|
+
Generate the observation
|
513
|
+
*/
|
514
|
+
for(icat=0; icat<ncat-1; icat++) {
|
515
|
+
prob = *(p+icat)/sum;
|
516
|
+
*(ix+icat) = ignbin(ntot,prob);
|
517
|
+
ntot -= *(ix+icat);
|
518
|
+
if(ntot <= 0) return;
|
519
|
+
sum -= *(p+icat);
|
520
|
+
}
|
521
|
+
*(ix+ncat-1) = ntot;
|
522
|
+
/*
|
523
|
+
Finished
|
524
|
+
*/
|
525
|
+
return;
|
526
|
+
}
|
527
|
+
|
528
|
+
double gennch(double df,double xnonc)
|
529
|
+
/*
|
530
|
+
**********************************************************************
|
531
|
+
double gennch(double df,double xnonc)
|
532
|
+
Generate random value of Noncentral CHIsquare variable
|
533
|
+
Function
|
534
|
+
Generates random deviate from the distribution of a noncentral
|
535
|
+
chisquare with DF degrees of freedom and noncentrality parameter
|
536
|
+
xnonc.
|
537
|
+
Arguments
|
538
|
+
df --> Degrees of freedom of the chisquare
|
539
|
+
(Must be >= 1.0)
|
540
|
+
xnonc --> Noncentrality parameter of the chisquare
|
541
|
+
(Must be >= 0.0)
|
542
|
+
Method
|
543
|
+
Uses fact that noncentral chisquare is the sum of a chisquare
|
544
|
+
deviate with DF-1 degrees of freedom plus the square of a normal
|
545
|
+
deviate with mean XNONC and standard deviation 1.
|
546
|
+
**********************************************************************
|
547
|
+
*/
|
548
|
+
{
|
549
|
+
static double gennch;
|
550
|
+
|
551
|
+
if(!(df < 1.0 || xnonc < 0.0)) goto S10;
|
552
|
+
fputs("DF < 1 or XNONC < 0 in GENNCH - ABORT\n",stderr);
|
553
|
+
fprintf(stderr,"Value of DF: %16.6E Value of XNONC: %16.6E\n",df,xnonc);
|
554
|
+
exit(1);
|
555
|
+
/* JJV changed code to call SGAMMA, SNORM directly */
|
556
|
+
S10:
|
557
|
+
if(df >= 1.000000001) goto S20;
|
558
|
+
/*
|
559
|
+
* JJV case df == 1.0
|
560
|
+
* gennch = pow(gennor(sqrt(xnonc),1.0),2.0); <- OLD
|
561
|
+
*/
|
562
|
+
gennch = pow(snorm()+sqrt(xnonc),2.0);
|
563
|
+
goto S30;
|
564
|
+
S20:
|
565
|
+
/*
|
566
|
+
* JJV case df > 1.0
|
567
|
+
* gennch = genchi(df-1.0)+pow(gennor(sqrt(xnonc),1.0),2.0); <- OLD
|
568
|
+
*/
|
569
|
+
gennch = 2.0*sgamma((df-1.0)/2.0)+pow(snorm()+sqrt(xnonc),2.0);
|
570
|
+
S30:
|
571
|
+
return gennch;
|
572
|
+
}
|
573
|
+
|
574
|
+
double gennf(double dfn,double dfd,double xnonc)
|
575
|
+
/*
|
576
|
+
**********************************************************************
|
577
|
+
double gennf(double dfn,double dfd,double xnonc)
|
578
|
+
GENerate random deviate from the Noncentral F distribution
|
579
|
+
Function
|
580
|
+
Generates a random deviate from the noncentral F (variance ratio)
|
581
|
+
distribution with DFN degrees of freedom in the numerator, and DFD
|
582
|
+
degrees of freedom in the denominator, and noncentrality parameter
|
583
|
+
XNONC.
|
584
|
+
Arguments
|
585
|
+
dfn --> Numerator degrees of freedom
|
586
|
+
(Must be >= 1.0)
|
587
|
+
dfd --> Denominator degrees of freedom
|
588
|
+
(Must be positive)
|
589
|
+
xnonc --> Noncentrality parameter
|
590
|
+
(Must be nonnegative)
|
591
|
+
Method
|
592
|
+
Directly generates ratio of noncentral numerator chisquare variate
|
593
|
+
to central denominator chisquare variate.
|
594
|
+
**********************************************************************
|
595
|
+
*/
|
596
|
+
{
|
597
|
+
static double gennf,xden,xnum;
|
598
|
+
static long qcond;
|
599
|
+
|
600
|
+
/* JJV changed qcond, error message to allow dfn == 1.0 */
|
601
|
+
qcond = dfn < 1.0 || dfd <= 0.0 || xnonc < 0.0;
|
602
|
+
if(!qcond) goto S10;
|
603
|
+
fputs("In GENNF - Either (1) Numerator DF < 1.0 or\n",stderr);
|
604
|
+
fputs(" (2) Denominator DF <= 0.0 or\n",stderr);
|
605
|
+
fputs(" (3) Noncentrality parameter < 0.0\n",stderr);
|
606
|
+
fprintf(stderr,
|
607
|
+
"DFN value: %16.6E DFD value: %16.6E XNONC value: \n%16.6E\n",dfn,dfd,
|
608
|
+
xnonc);
|
609
|
+
exit(1);
|
610
|
+
S10:
|
611
|
+
/*
|
612
|
+
* JJV changed the code to call SGAMMA and SNORM directly
|
613
|
+
* GENNF = ( GENNCH( DFN, XNONC ) / DFN ) / ( GENCHI( DFD ) / DFD )
|
614
|
+
* xnum = gennch(dfn,xnonc)/dfn; <- OLD
|
615
|
+
* xden = genchi(dfd)/dfd; <- OLD
|
616
|
+
*/
|
617
|
+
if(dfn >= 1.000001) goto S20;
|
618
|
+
/* JJV case dfn == 1.0, dfn is counted as exactly 1.0 */
|
619
|
+
xnum = pow(snorm()+sqrt(xnonc),2.0);
|
620
|
+
goto S30;
|
621
|
+
S20:
|
622
|
+
/* JJV case df > 1.0 */
|
623
|
+
xnum = (2.0*sgamma((dfn-1.0)/2.0)+pow(snorm()+sqrt(xnonc),2.0))/dfn;
|
624
|
+
S30:
|
625
|
+
xden = 2.0*sgamma(dfd/2.0)/dfd;
|
626
|
+
/*
|
627
|
+
* JJV changed constant to prevent underflow at compile time.
|
628
|
+
* if(!(xden <= 9.999999999998E-39*xnum)) goto S40;
|
629
|
+
*/
|
630
|
+
if(!(xden <= 1.0E-37*xnum)) goto S40;
|
631
|
+
fputs(" GENNF - generated numbers would cause overflow\n",stderr);
|
632
|
+
fprintf(stderr," Numerator %16.6E Denominator %16.6E\n",xnum,xden);
|
633
|
+
/*
|
634
|
+
* JJV changed next 2 lines to reflect constant change above in the
|
635
|
+
* JJV truncated value returned.
|
636
|
+
* fputs(" GENNF returning 1.0E38\n",stderr);
|
637
|
+
* gennf = 1.0E38;
|
638
|
+
*/
|
639
|
+
fputs(" GENNF returning 1.0E37\n",stderr);
|
640
|
+
gennf = 1.0E37;
|
641
|
+
goto S50;
|
642
|
+
S40:
|
643
|
+
gennf = xnum/xden;
|
644
|
+
S50:
|
645
|
+
return gennf;
|
646
|
+
}
|
647
|
+
|
648
|
+
double gennor(double av,double sd)
|
649
|
+
/*
|
650
|
+
**********************************************************************
|
651
|
+
double gennor(double av,double sd)
|
652
|
+
GENerate random deviate from a NORmal distribution
|
653
|
+
Function
|
654
|
+
Generates a single random deviate from a normal distribution
|
655
|
+
with mean, AV, and standard deviation, SD.
|
656
|
+
Arguments
|
657
|
+
av --> Mean of the normal distribution.
|
658
|
+
sd --> Standard deviation of the normal distribution.
|
659
|
+
JJV (sd >= 0)
|
660
|
+
Method
|
661
|
+
Renames SNORM from TOMS as slightly modified by BWB to use RANF
|
662
|
+
instead of SUNIF.
|
663
|
+
For details see:
|
664
|
+
Ahrens, J.H. and Dieter, U.
|
665
|
+
Extensions of Forsythe's Method for Random
|
666
|
+
Sampling from the Normal Distribution.
|
667
|
+
Math. Comput., 27,124 (Oct. 1973), 927 - 937.
|
668
|
+
**********************************************************************
|
669
|
+
*/
|
670
|
+
{
|
671
|
+
static double gennor;
|
672
|
+
|
673
|
+
/* JJV added argument checker */
|
674
|
+
if(sd >= 0.0) goto S10;
|
675
|
+
fputs(" SD < 0 in GENNOR - ABORT\n",stderr);
|
676
|
+
fprintf(stderr," Value of SD: %16.6E\n",sd);
|
677
|
+
exit(1);
|
678
|
+
S10:
|
679
|
+
gennor = sd*snorm()+av;
|
680
|
+
return gennor;
|
681
|
+
}
|
682
|
+
|
683
|
+
void genprm(long *iarray,int larray)
|
684
|
+
/*
|
685
|
+
**********************************************************************
|
686
|
+
void genprm(long *iarray,int larray)
|
687
|
+
GENerate random PeRMutation of iarray
|
688
|
+
Arguments
|
689
|
+
iarray <--> On output IARRAY is a random permutation of its
|
690
|
+
value on input
|
691
|
+
larray <--> Length of IARRAY
|
692
|
+
**********************************************************************
|
693
|
+
*/
|
694
|
+
{
|
695
|
+
static long i,itmp,iwhich,D1,D2;
|
696
|
+
|
697
|
+
for(i=1,D1=1,D2=(larray-i+D1)/D1; D2>0; D2--,i+=D1) {
|
698
|
+
iwhich = ignuin(i,larray);
|
699
|
+
itmp = *(iarray+iwhich-1);
|
700
|
+
*(iarray+iwhich-1) = *(iarray+i-1);
|
701
|
+
*(iarray+i-1) = itmp;
|
702
|
+
}
|
703
|
+
}
|
704
|
+
|
705
|
+
double genunf(double low,double high)
|
706
|
+
/*
|
707
|
+
**********************************************************************
|
708
|
+
double genunf(double low,double high)
|
709
|
+
GeNerate Uniform Real between LOW and HIGH
|
710
|
+
Function
|
711
|
+
Generates a real uniformly distributed between LOW and HIGH.
|
712
|
+
Arguments
|
713
|
+
low --> Low bound (exclusive) on real value to be generated
|
714
|
+
high --> High bound (exclusive) on real value to be generated
|
715
|
+
**********************************************************************
|
716
|
+
*/
|
717
|
+
{
|
718
|
+
static double genunf;
|
719
|
+
|
720
|
+
if(!(low > high)) goto S10;
|
721
|
+
fprintf(stderr,"LOW > HIGH in GENUNF: LOW %16.6E HIGH: %16.6E\n",low,high);
|
722
|
+
fputs("Abort\n",stderr);
|
723
|
+
exit(1);
|
724
|
+
S10:
|
725
|
+
genunf = low+(high-low)*ranf();
|
726
|
+
return genunf;
|
727
|
+
}
|
728
|
+
|
729
|
+
void gscgn(long getset,long *g)
|
730
|
+
/*
|
731
|
+
**********************************************************************
|
732
|
+
void gscgn(long getset,long *g)
|
733
|
+
Get/Set GeNerator
|
734
|
+
Gets or returns in G the number of the current generator
|
735
|
+
Arguments
|
736
|
+
getset --> 0 Get
|
737
|
+
1 Set
|
738
|
+
g <-- Number of the current random number generator (1..32)
|
739
|
+
**********************************************************************
|
740
|
+
*/
|
741
|
+
{
|
742
|
+
#define numg 32L
|
743
|
+
static long curntg = 1;
|
744
|
+
if(getset == 0) *g = curntg;
|
745
|
+
else {
|
746
|
+
if(*g < 0 || *g > numg) {
|
747
|
+
fputs(" Generator number out of range in GSCGN\n",stderr);
|
748
|
+
exit(0);
|
749
|
+
}
|
750
|
+
curntg = *g;
|
751
|
+
}
|
752
|
+
#undef numg
|
753
|
+
}
|
754
|
+
|
755
|
+
void gsrgs(long getset,long *qvalue)
|
756
|
+
/*
|
757
|
+
**********************************************************************
|
758
|
+
void gsrgs(long getset,long *qvalue)
|
759
|
+
Get/Set Random Generators Set
|
760
|
+
Gets or sets whether random generators set (initialized).
|
761
|
+
Initially (data statement) state is not set
|
762
|
+
If getset is 1 state is set to qvalue
|
763
|
+
If getset is 0 state returned in qvalue
|
764
|
+
**********************************************************************
|
765
|
+
*/
|
766
|
+
{
|
767
|
+
static long qinit = 0;
|
768
|
+
|
769
|
+
if(getset == 0) *qvalue = qinit;
|
770
|
+
else qinit = *qvalue;
|
771
|
+
}
|
772
|
+
|
773
|
+
void gssst(long getset,long *qset)
|
774
|
+
/*
|
775
|
+
**********************************************************************
|
776
|
+
void gssst(long getset,long *qset)
|
777
|
+
Get or Set whether Seed is Set
|
778
|
+
Initialize to Seed not Set
|
779
|
+
If getset is 1 sets state to Seed Set
|
780
|
+
If getset is 0 returns T in qset if Seed Set
|
781
|
+
Else returns F in qset
|
782
|
+
**********************************************************************
|
783
|
+
*/
|
784
|
+
{
|
785
|
+
static long qstate = 0;
|
786
|
+
if(getset != 0) qstate = 1;
|
787
|
+
else *qset = qstate;
|
788
|
+
}
|
789
|
+
|
790
|
+
long ignbin(long n,double pp)
|
791
|
+
/*
|
792
|
+
**********************************************************************
|
793
|
+
long ignbin(long n,double pp)
|
794
|
+
GENerate BINomial random deviate
|
795
|
+
Function
|
796
|
+
Generates a single random deviate from a binomial
|
797
|
+
distribution whose number of trials is N and whose
|
798
|
+
probability of an event in each trial is P.
|
799
|
+
Arguments
|
800
|
+
n --> The number of trials in the binomial distribution
|
801
|
+
from which a random deviate is to be generated.
|
802
|
+
JJV (N >= 0)
|
803
|
+
pp --> The probability of an event in each trial of the
|
804
|
+
binomial distribution from which a random deviate
|
805
|
+
is to be generated.
|
806
|
+
JJV (0.0 <= PP <= 1.0)
|
807
|
+
ignbin <-- A random deviate yielding the number of events
|
808
|
+
from N independent trials, each of which has
|
809
|
+
a probability of event P.
|
810
|
+
Method
|
811
|
+
This is algorithm BTPE from:
|
812
|
+
Kachitvichyanukul, V. and Schmeiser, B. W.
|
813
|
+
Binomial Random Variate Generation.
|
814
|
+
Communications of the ACM, 31, 2
|
815
|
+
(February, 1988) 216.
|
816
|
+
**********************************************************************
|
817
|
+
SUBROUTINE BTPEC(N,PP,ISEED,JX)
|
818
|
+
BINOMIAL RANDOM VARIATE GENERATOR
|
819
|
+
MEAN .LT. 30 -- INVERSE CDF
|
820
|
+
MEAN .GE. 30 -- ALGORITHM BTPE: ACCEPTANCE-REJECTION VIA
|
821
|
+
FOUR REGION COMPOSITION. THE FOUR REGIONS ARE A TRIANGLE
|
822
|
+
(SYMMETRIC IN THE CENTER), A PAIR OF PARALLELOGRAMS (ABOVE
|
823
|
+
THE TRIANGLE), AND EXPONENTIAL LEFT AND RIGHT TAILS.
|
824
|
+
BTPE REFERS TO BINOMIAL-TRIANGLE-PARALLELOGRAM-EXPONENTIAL.
|
825
|
+
BTPEC REFERS TO BTPE AND "COMBINED." THUS BTPE IS THE
|
826
|
+
RESEARCH AND BTPEC IS THE IMPLEMENTATION OF A COMPLETE
|
827
|
+
USABLE ALGORITHM.
|
828
|
+
REFERENCE: VORATAS KACHITVICHYANUKUL AND BRUCE SCHMEISER,
|
829
|
+
"BINOMIAL RANDOM VARIATE GENERATION,"
|
830
|
+
COMMUNICATIONS OF THE ACM, FORTHCOMING
|
831
|
+
WRITTEN: SEPTEMBER 1980.
|
832
|
+
LAST REVISED: MAY 1985, JULY 1987
|
833
|
+
REQUIRED SUBPROGRAM: RAND() -- A UNIFORM (0,1) RANDOM NUMBER
|
834
|
+
GENERATOR
|
835
|
+
ARGUMENTS
|
836
|
+
N : NUMBER OF BERNOULLI TRIALS (INPUT)
|
837
|
+
PP : PROBABILITY OF SUCCESS IN EACH TRIAL (INPUT)
|
838
|
+
ISEED: RANDOM NUMBER SEED (INPUT AND OUTPUT)
|
839
|
+
JX: RANDOMLY GENERATED OBSERVATION (OUTPUT)
|
840
|
+
VARIABLES
|
841
|
+
PSAVE: VALUE OF PP FROM THE LAST CALL TO BTPEC
|
842
|
+
NSAVE: VALUE OF N FROM THE LAST CALL TO BTPEC
|
843
|
+
XNP: VALUE OF THE MEAN FROM THE LAST CALL TO BTPEC
|
844
|
+
P: PROBABILITY USED IN THE GENERATION PHASE OF BTPEC
|
845
|
+
FFM: TEMPORARY VARIABLE EQUAL TO XNP + P
|
846
|
+
M: INTEGER VALUE OF THE CURRENT MODE
|
847
|
+
FM: FLOATING POINT VALUE OF THE CURRENT MODE
|
848
|
+
XNPQ: TEMPORARY VARIABLE USED IN SETUP AND SQUEEZING STEPS
|
849
|
+
P1: AREA OF THE TRIANGLE
|
850
|
+
C: HEIGHT OF THE PARALLELOGRAMS
|
851
|
+
XM: CENTER OF THE TRIANGLE
|
852
|
+
XL: LEFT END OF THE TRIANGLE
|
853
|
+
XR: RIGHT END OF THE TRIANGLE
|
854
|
+
AL: TEMPORARY VARIABLE
|
855
|
+
XLL: RATE FOR THE LEFT EXPONENTIAL TAIL
|
856
|
+
XLR: RATE FOR THE RIGHT EXPONENTIAL TAIL
|
857
|
+
P2: AREA OF THE PARALLELOGRAMS
|
858
|
+
P3: AREA OF THE LEFT EXPONENTIAL TAIL
|
859
|
+
P4: AREA OF THE RIGHT EXPONENTIAL TAIL
|
860
|
+
U: A U(0,P4) RANDOM VARIATE USED FIRST TO SELECT ONE OF THE
|
861
|
+
FOUR REGIONS AND THEN CONDITIONALLY TO GENERATE A VALUE
|
862
|
+
FROM THE REGION
|
863
|
+
V: A U(0,1) RANDOM NUMBER USED TO GENERATE THE RANDOM VALUE
|
864
|
+
(REGION 1) OR TRANSFORMED INTO THE VARIATE TO ACCEPT OR
|
865
|
+
REJECT THE CANDIDATE VALUE
|
866
|
+
IX: INTEGER CANDIDATE VALUE
|
867
|
+
X: PRELIMINARY CONTINUOUS CANDIDATE VALUE IN REGION 2 LOGIC
|
868
|
+
AND A FLOATING POINT IX IN THE ACCEPT/REJECT LOGIC
|
869
|
+
K: ABSOLUTE VALUE OF (IX-M)
|
870
|
+
F: THE HEIGHT OF THE SCALED DENSITY FUNCTION USED IN THE
|
871
|
+
ACCEPT/REJECT DECISION WHEN BOTH M AND IX ARE SMALL
|
872
|
+
ALSO USED IN THE INVERSE TRANSFORMATION
|
873
|
+
R: THE RATIO P/Q
|
874
|
+
G: CONSTANT USED IN CALCULATION OF PROBABILITY
|
875
|
+
MP: MODE PLUS ONE, THE LOWER INDEX FOR EXPLICIT CALCULATION
|
876
|
+
OF F WHEN IX IS GREATER THAN M
|
877
|
+
IX1: CANDIDATE VALUE PLUS ONE, THE LOWER INDEX FOR EXPLICIT
|
878
|
+
CALCULATION OF F WHEN IX IS LESS THAN M
|
879
|
+
I: INDEX FOR EXPLICIT CALCULATION OF F FOR BTPE
|
880
|
+
AMAXP: MAXIMUM ERROR OF THE LOGARITHM OF NORMAL BOUND
|
881
|
+
YNORM: LOGARITHM OF NORMAL BOUND
|
882
|
+
ALV: NATURAL LOGARITHM OF THE ACCEPT/REJECT VARIATE V
|
883
|
+
X1,F1,Z,W,Z2,X2,F2, AND W2 ARE TEMPORARY VARIABLES TO BE
|
884
|
+
USED IN THE FINAL ACCEPT/REJECT TEST
|
885
|
+
QN: PROBABILITY OF NO SUCCESS IN N TRIALS
|
886
|
+
REMARK
|
887
|
+
IX AND JX COULD LOGICALLY BE THE SAME VARIABLE, WHICH WOULD
|
888
|
+
SAVE A MEMORY POSITION AND A LINE OF CODE. HOWEVER, SOME
|
889
|
+
COMPILERS (E.G.,CDC MNF) OPTIMIZE BETTER WHEN THE ARGUMENTS
|
890
|
+
ARE NOT INVOLVED.
|
891
|
+
ISEED NEEDS TO BE DOUBLE PRECISION IF THE IMSL ROUTINE
|
892
|
+
GGUBFS IS USED TO GENERATE UNIFORM RANDOM NUMBER, OTHERWISE
|
893
|
+
TYPE OF ISEED SHOULD BE DICTATED BY THE UNIFORM GENERATOR
|
894
|
+
**********************************************************************
|
895
|
+
*****DETERMINE APPROPRIATE ALGORITHM AND WHETHER SETUP IS NECESSARY
|
896
|
+
*/
|
897
|
+
{
|
898
|
+
/* JJV changed initial values to ridiculous values */
|
899
|
+
static double psave = -1.0E37;
|
900
|
+
static long nsave = -214748365;
|
901
|
+
static long ignbin,i,ix,ix1,k,m,mp,T1;
|
902
|
+
static double al,alv,amaxp,c,f,f1,f2,ffm,fm,g,p,p1,p2,p3,p4,q,qn,r,u,v,w,w2,x,x1,
|
903
|
+
x2,xl,xll,xlr,xm,xnp,xnpq,xr,ynorm,z,z2;
|
904
|
+
|
905
|
+
if(pp != psave) goto S10;
|
906
|
+
if(n != nsave) goto S20;
|
907
|
+
if(xnp < 30.0) goto S150;
|
908
|
+
goto S30;
|
909
|
+
S10:
|
910
|
+
/*
|
911
|
+
*****SETUP, PERFORM ONLY WHEN PARAMETERS CHANGE
|
912
|
+
JJV added checks to ensure 0.0 <= PP <= 1.0
|
913
|
+
*/
|
914
|
+
if(pp < 0.0F) ftnstop("PP < 0.0 in IGNBIN");
|
915
|
+
if(pp > 1.0F) ftnstop("PP > 1.0 in IGNBIN");
|
916
|
+
psave = pp;
|
917
|
+
p = min(psave,1.0-psave);
|
918
|
+
q = 1.0-p;
|
919
|
+
S20:
|
920
|
+
/*
|
921
|
+
JJV added check to ensure N >= 0
|
922
|
+
*/
|
923
|
+
if(n < 0L) ftnstop("N < 0 in IGNBIN");
|
924
|
+
xnp = n*p;
|
925
|
+
nsave = n;
|
926
|
+
if(xnp < 30.0) goto S140;
|
927
|
+
ffm = xnp+p;
|
928
|
+
m = ffm;
|
929
|
+
fm = m;
|
930
|
+
xnpq = xnp*q;
|
931
|
+
p1 = (long) (2.195*sqrt(xnpq)-4.6*q)+0.5;
|
932
|
+
xm = fm+0.5;
|
933
|
+
xl = xm-p1;
|
934
|
+
xr = xm+p1;
|
935
|
+
c = 0.134+20.5/(15.3+fm);
|
936
|
+
al = (ffm-xl)/(ffm-xl*p);
|
937
|
+
xll = al*(1.0+0.5*al);
|
938
|
+
al = (xr-ffm)/(xr*q);
|
939
|
+
xlr = al*(1.0+0.5*al);
|
940
|
+
p2 = p1*(1.0+c+c);
|
941
|
+
p3 = p2+c/xll;
|
942
|
+
p4 = p3+c/xlr;
|
943
|
+
S30:
|
944
|
+
/*
|
945
|
+
*****GENERATE VARIATE
|
946
|
+
*/
|
947
|
+
u = ranf()*p4;
|
948
|
+
v = ranf();
|
949
|
+
/*
|
950
|
+
TRIANGULAR REGION
|
951
|
+
*/
|
952
|
+
if(u > p1) goto S40;
|
953
|
+
ix = xm-p1*v+u;
|
954
|
+
goto S170;
|
955
|
+
S40:
|
956
|
+
/*
|
957
|
+
PARALLELOGRAM REGION
|
958
|
+
*/
|
959
|
+
if(u > p2) goto S50;
|
960
|
+
x = xl+(u-p1)/c;
|
961
|
+
v = v*c+1.0-ABS(xm-x)/p1;
|
962
|
+
if(v > 1.0 || v <= 0.0) goto S30;
|
963
|
+
ix = x;
|
964
|
+
goto S70;
|
965
|
+
S50:
|
966
|
+
/*
|
967
|
+
LEFT TAIL
|
968
|
+
*/
|
969
|
+
if(u > p3) goto S60;
|
970
|
+
ix = xl+log(v)/xll;
|
971
|
+
if(ix < 0) goto S30;
|
972
|
+
v *= ((u-p2)*xll);
|
973
|
+
goto S70;
|
974
|
+
S60:
|
975
|
+
/*
|
976
|
+
RIGHT TAIL
|
977
|
+
*/
|
978
|
+
ix = xr-log(v)/xlr;
|
979
|
+
if(ix > n) goto S30;
|
980
|
+
v *= ((u-p3)*xlr);
|
981
|
+
S70:
|
982
|
+
/*
|
983
|
+
*****DETERMINE APPROPRIATE WAY TO PERFORM ACCEPT/REJECT TEST
|
984
|
+
*/
|
985
|
+
k = ABS(ix-m);
|
986
|
+
if(k > 20 && k < xnpq/2-1) goto S130;
|
987
|
+
/*
|
988
|
+
EXPLICIT EVALUATION
|
989
|
+
*/
|
990
|
+
f = 1.0;
|
991
|
+
r = p/q;
|
992
|
+
g = (n+1)*r;
|
993
|
+
T1 = m-ix;
|
994
|
+
if(T1 < 0) goto S80;
|
995
|
+
else if(T1 == 0) goto S120;
|
996
|
+
else goto S100;
|
997
|
+
S80:
|
998
|
+
mp = m+1;
|
999
|
+
for(i=mp; i<=ix; i++) f *= (g/i-r);
|
1000
|
+
goto S120;
|
1001
|
+
S100:
|
1002
|
+
ix1 = ix+1;
|
1003
|
+
for(i=ix1; i<=m; i++) f /= (g/i-r);
|
1004
|
+
S120:
|
1005
|
+
if(v <= f) goto S170;
|
1006
|
+
goto S30;
|
1007
|
+
S130:
|
1008
|
+
/*
|
1009
|
+
SQUEEZING USING UPPER AND LOWER BOUNDS ON ALOG(F(X))
|
1010
|
+
*/
|
1011
|
+
amaxp = k/xnpq*((k*(k/3.0+0.625)+0.1666666666666)/xnpq+0.5);
|
1012
|
+
ynorm = -(k*k/(2.0*xnpq));
|
1013
|
+
alv = log(v);
|
1014
|
+
if(alv < ynorm-amaxp) goto S170;
|
1015
|
+
if(alv > ynorm+amaxp) goto S30;
|
1016
|
+
/*
|
1017
|
+
STIRLING'S FORMULA TO MACHINE ACCURACY FOR
|
1018
|
+
THE FINAL ACCEPTANCE/REJECTION TEST
|
1019
|
+
*/
|
1020
|
+
x1 = ix+1.0;
|
1021
|
+
f1 = fm+1.0;
|
1022
|
+
z = n+1.0-fm;
|
1023
|
+
w = n-ix+1.0;
|
1024
|
+
z2 = z*z;
|
1025
|
+
x2 = x1*x1;
|
1026
|
+
f2 = f1*f1;
|
1027
|
+
w2 = w*w;
|
1028
|
+
if(alv <= xm*log(f1/x1)+(n-m+0.5)*log(z/w)+(ix-m)*log(w*p/(x1*q))+(13860.0-
|
1029
|
+
(462.0-(132.0-(99.0-140.0/f2)/f2)/f2)/f2)/f1/166320.0+(13860.0-(462.0-
|
1030
|
+
(132.0-(99.0-140.0/z2)/z2)/z2)/z2)/z/166320.0+(13860.0-(462.0-(132.0-
|
1031
|
+
(99.0-140.0/x2)/x2)/x2)/x2)/x1/166320.0+(13860.0-(462.0-(132.0-(99.0
|
1032
|
+
-140.0/w2)/w2)/w2)/w2)/w/166320.0) goto S170;
|
1033
|
+
goto S30;
|
1034
|
+
S140:
|
1035
|
+
/*
|
1036
|
+
INVERSE CDF LOGIC FOR MEAN LESS THAN 30
|
1037
|
+
*/
|
1038
|
+
/* The following change was recommended by Paul B. to get around an
|
1039
|
+
error when using gcc under AIX. 2006-09-12. */
|
1040
|
+
/** qn = pow(q,(double)n); <- OLD **/
|
1041
|
+
qn = exp( (double)n * log(q) );
|
1042
|
+
r = p/q;
|
1043
|
+
g = r*(n+1);
|
1044
|
+
S150:
|
1045
|
+
ix = 0;
|
1046
|
+
f = qn;
|
1047
|
+
u = ranf();
|
1048
|
+
S160:
|
1049
|
+
if(u < f) goto S170;
|
1050
|
+
if(ix > 110) goto S150;
|
1051
|
+
u -= f;
|
1052
|
+
ix += 1;
|
1053
|
+
f *= (g/ix-r);
|
1054
|
+
goto S160;
|
1055
|
+
S170:
|
1056
|
+
if(psave > 0.5) ix = n-ix;
|
1057
|
+
ignbin = ix;
|
1058
|
+
return ignbin;
|
1059
|
+
}
|
1060
|
+
|
1061
|
+
long ignnbn(long n,double p)
|
1062
|
+
/*
|
1063
|
+
**********************************************************************
|
1064
|
+
|
1065
|
+
long ignnbn(long n,double p)
|
1066
|
+
GENerate Negative BiNomial random deviate
|
1067
|
+
Function
|
1068
|
+
Generates a single random deviate from a negative binomial
|
1069
|
+
distribution.
|
1070
|
+
Arguments
|
1071
|
+
N --> The number of trials in the negative binomial distribution
|
1072
|
+
from which a random deviate is to be generated.
|
1073
|
+
JJV (N > 0)
|
1074
|
+
P --> The probability of an event.
|
1075
|
+
JJV (0.0 < P < 1.0)
|
1076
|
+
Method
|
1077
|
+
Algorithm from page 480 of
|
1078
|
+
|
1079
|
+
Devroye, Luc
|
1080
|
+
|
1081
|
+
Non-Uniform Random Variate Generation. Springer-Verlag,
|
1082
|
+
New York, 1986.
|
1083
|
+
**********************************************************************
|
1084
|
+
*/
|
1085
|
+
{
|
1086
|
+
static long ignnbn;
|
1087
|
+
static double y,a,r;
|
1088
|
+
/*
|
1089
|
+
..
|
1090
|
+
.. Executable Statements ..
|
1091
|
+
*/
|
1092
|
+
/*
|
1093
|
+
Check Arguments
|
1094
|
+
*/
|
1095
|
+
if(n <= 0L) ftnstop("N <= 0 in IGNNBN");
|
1096
|
+
if(p <= 0.0F) ftnstop("P <= 0.0 in IGNNBN");
|
1097
|
+
if(p >= 1.0F) ftnstop("P >= 1.0 in IGNNBN");
|
1098
|
+
/*
|
1099
|
+
Generate Y, a random gamma (n,(1-p)/p) variable
|
1100
|
+
JJV Note: the above parametrization is consistent with Devroye,
|
1101
|
+
JJV but gamma (p/(1-p),n) is the equivalent in our code
|
1102
|
+
*/
|
1103
|
+
r = (double)n;
|
1104
|
+
a = p/(1.0F-p);
|
1105
|
+
/*
|
1106
|
+
* JJV changed this to call SGAMMA directly
|
1107
|
+
* y = gengam(a,r); <- OLD
|
1108
|
+
*/
|
1109
|
+
y = sgamma(r)/a;
|
1110
|
+
/*
|
1111
|
+
Generate a random Poisson(y) variable
|
1112
|
+
*/
|
1113
|
+
ignnbn = ignpoi(y);
|
1114
|
+
return ignnbn;
|
1115
|
+
}
|
1116
|
+
|
1117
|
+
long ignpoi(double mu)
|
1118
|
+
/*
|
1119
|
+
**********************************************************************
|
1120
|
+
long ignpoi(double mu)
|
1121
|
+
GENerate POIsson random deviate
|
1122
|
+
Function
|
1123
|
+
Generates a single random deviate from a Poisson
|
1124
|
+
distribution with mean MU.
|
1125
|
+
Arguments
|
1126
|
+
mu --> The mean of the Poisson distribution from which
|
1127
|
+
a random deviate is to be generated.
|
1128
|
+
(mu >= 0.0)
|
1129
|
+
ignpoi <-- The random deviate.
|
1130
|
+
Method
|
1131
|
+
Renames KPOIS from TOMS as slightly modified by BWB to use RANF
|
1132
|
+
instead of SUNIF.
|
1133
|
+
For details see:
|
1134
|
+
Ahrens, J.H. and Dieter, U.
|
1135
|
+
Computer Generation of Poisson Deviates
|
1136
|
+
From Modified Normal Distributions.
|
1137
|
+
ACM Trans. Math. Software, 8, 2
|
1138
|
+
(June 1982),163-179
|
1139
|
+
**********************************************************************
|
1140
|
+
**********************************************************************
|
1141
|
+
|
1142
|
+
|
1143
|
+
P O I S S O N DISTRIBUTION
|
1144
|
+
|
1145
|
+
|
1146
|
+
**********************************************************************
|
1147
|
+
**********************************************************************
|
1148
|
+
|
1149
|
+
FOR DETAILS SEE:
|
1150
|
+
|
1151
|
+
AHRENS, J.H. AND DIETER, U.
|
1152
|
+
COMPUTER GENERATION OF POISSON DEVIATES
|
1153
|
+
FROM MODIFIED NORMAL DISTRIBUTIONS.
|
1154
|
+
ACM TRANS. MATH. SOFTWARE, 8,2 (JUNE 1982), 163 - 179.
|
1155
|
+
|
1156
|
+
(SLIGHTLY MODIFIED VERSION OF THE PROGRAM IN THE ABOVE ARTICLE)
|
1157
|
+
|
1158
|
+
**********************************************************************
|
1159
|
+
INTEGER FUNCTION IGNPOI(IR,MU)
|
1160
|
+
INPUT: IR=CURRENT STATE OF BASIC RANDOM NUMBER GENERATOR
|
1161
|
+
MU=MEAN MU OF THE POISSON DISTRIBUTION
|
1162
|
+
OUTPUT: IGNPOI=SAMPLE FROM THE POISSON-(MU)-DISTRIBUTION
|
1163
|
+
MUPREV=PREVIOUS MU, MUOLD=MU AT LAST EXECUTION OF STEP P OR B.
|
1164
|
+
TABLES: COEFFICIENTS A0-A7 FOR STEP F. FACTORIALS FACT
|
1165
|
+
COEFFICIENTS A(K) - FOR PX = FK*V*V*SUM(A(K)*V**K)-DEL
|
1166
|
+
SEPARATION OF CASES A AND B
|
1167
|
+
*/
|
1168
|
+
{
|
1169
|
+
extern double fsign( double num, double sign );
|
1170
|
+
static double a0 = -0.5;
|
1171
|
+
static double a1 = 0.3333333343;
|
1172
|
+
static double a2 = -0.2499998565;
|
1173
|
+
static double a3 = 0.1999997049;
|
1174
|
+
static double a4 = -0.1666848753;
|
1175
|
+
static double a5 = 0.1428833286;
|
1176
|
+
static double a6 = -0.1241963125;
|
1177
|
+
static double a7 = 0.1101687109;
|
1178
|
+
static double a8 = -0.1142650302;
|
1179
|
+
static double a9 = 0.1055093006;
|
1180
|
+
/* JJV changed the initial values of MUPREV and MUOLD */
|
1181
|
+
static double muold = -1.0E37;
|
1182
|
+
static double muprev = -1.0E37;
|
1183
|
+
static double fact[10] = {
|
1184
|
+
1.0,1.0,2.0,6.0,24.0,120.0,720.0,5040.0,40320.0,362880.0
|
1185
|
+
};
|
1186
|
+
/* JJV added ll to the list, for Case A */
|
1187
|
+
static long ignpoi,j,k,kflag,l,ll,m;
|
1188
|
+
static double b1,b2,c,c0,c1,c2,c3,d,del,difmuk,e,fk,fx,fy,g,omega,p,p0,px,py,q,s,
|
1189
|
+
t,u,v,x,xx,pp[35];
|
1190
|
+
|
1191
|
+
if(mu == muprev) goto S10;
|
1192
|
+
if(mu < 10.0) goto S120;
|
1193
|
+
/*
|
1194
|
+
C A S E A. (RECALCULATION OF S,D,LL IF MU HAS CHANGED)
|
1195
|
+
JJV changed l in Case A to ll
|
1196
|
+
*/
|
1197
|
+
muprev = mu;
|
1198
|
+
s = sqrt(mu);
|
1199
|
+
d = 6.0*mu*mu;
|
1200
|
+
/*
|
1201
|
+
THE POISSON PROBABILITIES PK EXCEED THE DISCRETE NORMAL
|
1202
|
+
PROBABILITIES FK WHENEVER K >= M(MU). LL=IFIX(MU-1.1484)
|
1203
|
+
IS AN UPPER BOUND TO M(MU) FOR ALL MU >= 10 .
|
1204
|
+
*/
|
1205
|
+
ll = (long) (mu-1.1484);
|
1206
|
+
S10:
|
1207
|
+
/*
|
1208
|
+
STEP N. NORMAL SAMPLE - SNORM(IR) FOR STANDARD NORMAL DEVIATE
|
1209
|
+
*/
|
1210
|
+
g = mu+s*snorm();
|
1211
|
+
if(g < 0.0) goto S20;
|
1212
|
+
ignpoi = (long) (g);
|
1213
|
+
/*
|
1214
|
+
STEP I. IMMEDIATE ACCEPTANCE IF IGNPOI IS LARGE ENOUGH
|
1215
|
+
*/
|
1216
|
+
if(ignpoi >= ll) return ignpoi;
|
1217
|
+
/*
|
1218
|
+
STEP S. SQUEEZE ACCEPTANCE - SUNIF(IR) FOR (0,1)-SAMPLE U
|
1219
|
+
*/
|
1220
|
+
fk = (double)ignpoi;
|
1221
|
+
difmuk = mu-fk;
|
1222
|
+
u = ranf();
|
1223
|
+
if(d*u >= difmuk*difmuk*difmuk) return ignpoi;
|
1224
|
+
S20:
|
1225
|
+
/*
|
1226
|
+
STEP P. PREPARATIONS FOR STEPS Q AND H.
|
1227
|
+
(RECALCULATIONS OF PARAMETERS IF NECESSARY)
|
1228
|
+
.3989423=(2*PI)**(-.5) .416667E-1=1./24. .1428571=1./7.
|
1229
|
+
THE QUANTITIES B1, B2, C3, C2, C1, C0 ARE FOR THE HERMITE
|
1230
|
+
APPROXIMATIONS TO THE DISCRETE NORMAL PROBABILITIES FK.
|
1231
|
+
C=.1069/MU GUARANTEES MAJORIZATION BY THE 'HAT'-FUNCTION.
|
1232
|
+
*/
|
1233
|
+
if(mu == muold) goto S30;
|
1234
|
+
muold = mu;
|
1235
|
+
omega = 0.398942280401433/s;
|
1236
|
+
b1 = 4.16666666666667E-2/mu;
|
1237
|
+
b2 = 0.3*b1*b1;
|
1238
|
+
c3 = 0.142857142857143*b1*b2;
|
1239
|
+
c2 = b2-15.0*c3;
|
1240
|
+
c1 = b1-6.0*b2+45.0*c3;
|
1241
|
+
c0 = 1.0-b1+3.0*b2-15.0*c3;
|
1242
|
+
c = 0.1069/mu;
|
1243
|
+
S30:
|
1244
|
+
if(g < 0.0) goto S50;
|
1245
|
+
/*
|
1246
|
+
'SUBROUTINE' F IS CALLED (KFLAG=0 FOR CORRECT RETURN)
|
1247
|
+
*/
|
1248
|
+
kflag = 0;
|
1249
|
+
goto S70;
|
1250
|
+
S40:
|
1251
|
+
/*
|
1252
|
+
STEP Q. QUOTIENT ACCEPTANCE (RARE CASE)
|
1253
|
+
*/
|
1254
|
+
if(fy-u*fy <= py*exp(px-fx)) return ignpoi;
|
1255
|
+
S50:
|
1256
|
+
/*
|
1257
|
+
STEP E. EXPONENTIAL SAMPLE - SEXPO(IR) FOR STANDARD EXPONENTIAL
|
1258
|
+
DEVIATE E AND SAMPLE T FROM THE LAPLACE 'HAT'
|
1259
|
+
(IF T <= -.6744 THEN PK < FK FOR ALL MU >= 10.)
|
1260
|
+
*/
|
1261
|
+
e = sexpo();
|
1262
|
+
u = ranf();
|
1263
|
+
u += (u-1.0);
|
1264
|
+
t = 1.8+fsign(e,u);
|
1265
|
+
if(t <= -0.6744) goto S50;
|
1266
|
+
ignpoi = (long) (mu+s*t);
|
1267
|
+
fk = (double)ignpoi;
|
1268
|
+
difmuk = mu-fk;
|
1269
|
+
/*
|
1270
|
+
'SUBROUTINE' F IS CALLED (KFLAG=1 FOR CORRECT RETURN)
|
1271
|
+
*/
|
1272
|
+
kflag = 1;
|
1273
|
+
goto S70;
|
1274
|
+
S60:
|
1275
|
+
/*
|
1276
|
+
STEP H. HAT ACCEPTANCE (E IS REPEATED ON REJECTION)
|
1277
|
+
*/
|
1278
|
+
if(c*fabs(u) > py*exp(px+e)-fy*exp(fx+e)) goto S50;
|
1279
|
+
return ignpoi;
|
1280
|
+
S70:
|
1281
|
+
/*
|
1282
|
+
STEP F. 'SUBROUTINE' F. CALCULATION OF PX,PY,FX,FY.
|
1283
|
+
CASE IGNPOI .LT. 10 USES FACTORIALS FROM TABLE FACT
|
1284
|
+
*/
|
1285
|
+
if(ignpoi >= 10) goto S80;
|
1286
|
+
px = -mu;
|
1287
|
+
py = pow(mu,(double)ignpoi)/ *(fact+ignpoi);
|
1288
|
+
goto S110;
|
1289
|
+
S80:
|
1290
|
+
/*
|
1291
|
+
CASE IGNPOI .GE. 10 USES POLYNOMIAL APPROXIMATION
|
1292
|
+
A0-A7 FOR ACCURACY WHEN ADVISABLE
|
1293
|
+
.8333333E-1=1./12. .3989423=(2*PI)**(-.5)
|
1294
|
+
*/
|
1295
|
+
del = 8.33333333E-2/fk;
|
1296
|
+
del -= (4.8*del*del*del);
|
1297
|
+
v = difmuk/fk;
|
1298
|
+
if(fabs(v) <= 0.25) goto S90;
|
1299
|
+
px = fk*log(1.0+v)-difmuk-del;
|
1300
|
+
goto S100;
|
1301
|
+
S90:
|
1302
|
+
px = fk*v*v*((((((((a8*v+a7)*v+a6)*v+a5)*v+a4)*v+a3)*v+a2)*v+a1)*v+a0)-del;
|
1303
|
+
S100:
|
1304
|
+
py = 0.398942280401433/sqrt(fk);
|
1305
|
+
S110:
|
1306
|
+
x = (0.5-difmuk)/s;
|
1307
|
+
xx = x*x;
|
1308
|
+
fx = -0.5*xx;
|
1309
|
+
fy = omega*(((c3*xx+c2)*xx+c1)*xx+c0);
|
1310
|
+
if(kflag <= 0) goto S40;
|
1311
|
+
goto S60;
|
1312
|
+
S120:
|
1313
|
+
/*
|
1314
|
+
C A S E B. (START NEW TABLE AND CALCULATE P0 IF NECESSARY)
|
1315
|
+
JJV changed MUPREV assignment to initial value
|
1316
|
+
*/
|
1317
|
+
muprev = -1.0E37;
|
1318
|
+
if(mu == muold) goto S130;
|
1319
|
+
/* JJV added argument checker here */
|
1320
|
+
if(mu >= 0.0) goto S125;
|
1321
|
+
fprintf(stderr,"MU < 0 in IGNPOI: MU %16.6E\n",mu);
|
1322
|
+
fputs("Abort\n",stderr);
|
1323
|
+
exit(1);
|
1324
|
+
S125:
|
1325
|
+
muold = mu;
|
1326
|
+
m = max(1L,(long) (mu));
|
1327
|
+
l = 0;
|
1328
|
+
p = exp(-mu);
|
1329
|
+
q = p0 = p;
|
1330
|
+
S130:
|
1331
|
+
/*
|
1332
|
+
STEP U. UNIFORM SAMPLE FOR INVERSION METHOD
|
1333
|
+
*/
|
1334
|
+
u = ranf();
|
1335
|
+
ignpoi = 0;
|
1336
|
+
if(u <= p0) return ignpoi;
|
1337
|
+
/*
|
1338
|
+
STEP T. TABLE COMPARISON UNTIL THE END PP(L) OF THE
|
1339
|
+
PP-TABLE OF CUMULATIVE POISSON PROBABILITIES
|
1340
|
+
(0.458=PP(9) FOR MU=10)
|
1341
|
+
*/
|
1342
|
+
if(l == 0) goto S150;
|
1343
|
+
j = 1;
|
1344
|
+
if(u > 0.458) j = min(l,m);
|
1345
|
+
for(k=j; k<=l; k++) {
|
1346
|
+
if(u <= *(pp+k-1)) goto S180;
|
1347
|
+
}
|
1348
|
+
if(l == 35) goto S130;
|
1349
|
+
S150:
|
1350
|
+
/*
|
1351
|
+
STEP C. CREATION OF NEW POISSON PROBABILITIES P
|
1352
|
+
AND THEIR CUMULATIVES Q=PP(K)
|
1353
|
+
*/
|
1354
|
+
l += 1;
|
1355
|
+
for(k=l; k<=35; k++) {
|
1356
|
+
p = p*mu/(double)k;
|
1357
|
+
q += p;
|
1358
|
+
*(pp+k-1) = q;
|
1359
|
+
if(u <= q) goto S170;
|
1360
|
+
}
|
1361
|
+
l = 35;
|
1362
|
+
goto S130;
|
1363
|
+
S170:
|
1364
|
+
l = k;
|
1365
|
+
S180:
|
1366
|
+
ignpoi = k;
|
1367
|
+
return ignpoi;
|
1368
|
+
}
|
1369
|
+
|
1370
|
+
long ignuin(long low,long high)
|
1371
|
+
/*
|
1372
|
+
**********************************************************************
|
1373
|
+
long ignuin(long low,long high)
|
1374
|
+
GeNerate Uniform INteger
|
1375
|
+
Function
|
1376
|
+
Generates an integer uniformly distributed between LOW and HIGH.
|
1377
|
+
Arguments
|
1378
|
+
low --> Low bound (inclusive) on integer value to be generated
|
1379
|
+
high --> High bound (inclusive) on integer value to be generated
|
1380
|
+
Note
|
1381
|
+
If (HIGH-LOW) > 2,147,483,561 prints error message on * unit and
|
1382
|
+
stops the program.
|
1383
|
+
**********************************************************************
|
1384
|
+
IGNLGI generates integers between 1 and 2147483562
|
1385
|
+
MAXNUM is 1 less than maximum generable value
|
1386
|
+
*/
|
1387
|
+
{
|
1388
|
+
#define maxnum 2147483561L
|
1389
|
+
static long ignuin,ign,maxnow,range,ranp1;
|
1390
|
+
|
1391
|
+
if(!(low > high)) goto S10;
|
1392
|
+
fputs(" low > high in ignuin - ABORT\n",stderr);
|
1393
|
+
exit(1);
|
1394
|
+
|
1395
|
+
S10:
|
1396
|
+
range = high-low;
|
1397
|
+
if(!(range > maxnum)) goto S20;
|
1398
|
+
fputs(" high - low too large in ignuin - ABORT\n",stderr);
|
1399
|
+
exit(1);
|
1400
|
+
|
1401
|
+
S20:
|
1402
|
+
if(!(low == high)) goto S30;
|
1403
|
+
ignuin = low;
|
1404
|
+
return ignuin;
|
1405
|
+
|
1406
|
+
S30:
|
1407
|
+
/*
|
1408
|
+
Number to be generated should be in range 0..RANGE
|
1409
|
+
Set MAXNOW so that the number of integers in 0..MAXNOW is an
|
1410
|
+
integral multiple of the number in 0..RANGE
|
1411
|
+
*/
|
1412
|
+
ranp1 = range+1;
|
1413
|
+
maxnow = maxnum/ranp1*ranp1;
|
1414
|
+
S40:
|
1415
|
+
ign = ignlgi()-1;
|
1416
|
+
if(!(ign <= maxnow)) goto S40;
|
1417
|
+
ignuin = low+ign%ranp1;
|
1418
|
+
return ignuin;
|
1419
|
+
#undef maxnum
|
1420
|
+
#undef err1
|
1421
|
+
#undef err2
|
1422
|
+
}
|
1423
|
+
|
1424
|
+
long lennob( char *str )
|
1425
|
+
/*
|
1426
|
+
Returns the length of str ignoring trailing blanks but not
|
1427
|
+
other white space.
|
1428
|
+
*/
|
1429
|
+
{
|
1430
|
+
long i, i_nb;
|
1431
|
+
|
1432
|
+
for (i=0, i_nb= -1L; *(str+i); i++)
|
1433
|
+
if ( *(str+i) != ' ' ) i_nb = i;
|
1434
|
+
return (i_nb+1);
|
1435
|
+
}
|
1436
|
+
|
1437
|
+
long mltmod(long a,long s,long m)
|
1438
|
+
/*
|
1439
|
+
**********************************************************************
|
1440
|
+
long mltmod(long a,long s,long m)
|
1441
|
+
Returns (A*S) MOD M
|
1442
|
+
This is a transcription from Pascal to C of routine
|
1443
|
+
MultMod_Decompos from the paper
|
1444
|
+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
|
1445
|
+
with Splitting Facilities." ACM Transactions on Mathematical
|
1446
|
+
Software, 17:98-111 (1991)
|
1447
|
+
Arguments
|
1448
|
+
a, s, m -->
|
1449
|
+
WGR, 12/19/00: replaced S10, S20, etc. with C blocks {} per
|
1450
|
+
original paper.
|
1451
|
+
**********************************************************************
|
1452
|
+
*/
|
1453
|
+
{
|
1454
|
+
#define h 32768L
|
1455
|
+
static long a0,a1,k,p,q,qh,rh;
|
1456
|
+
/*
|
1457
|
+
H = 2**((b-2)/2) where b = 32 because we are using a 32 bit
|
1458
|
+
machine. On a different machine recompute H.
|
1459
|
+
*/
|
1460
|
+
if (a <= 0 || a >= m || s <= 0 || s >= m) {
|
1461
|
+
fputs(" a, m, s out of order in mltmod - ABORT!\n",stderr);
|
1462
|
+
fprintf(stderr," a = %12ld s = %12ld m = %12ld\n",a,s,m);
|
1463
|
+
fputs(" mltmod requires: 0 < a < m; 0 < s < m\n",stderr);
|
1464
|
+
exit(1);
|
1465
|
+
}
|
1466
|
+
|
1467
|
+
if (a < h) {
|
1468
|
+
a0 = a;
|
1469
|
+
p = 0;
|
1470
|
+
} else {
|
1471
|
+
a1 = a/h;
|
1472
|
+
a0 = a - h*a1;
|
1473
|
+
qh = m/h;
|
1474
|
+
rh = m - h*qh;
|
1475
|
+
if (a1 >= h) { /* A2=1 */
|
1476
|
+
a1 -= h;
|
1477
|
+
k = s/qh;
|
1478
|
+
p = h*(s-k*qh) - k*rh;
|
1479
|
+
while (p < 0) { p += m; }
|
1480
|
+
} else {
|
1481
|
+
p = 0;
|
1482
|
+
}
|
1483
|
+
/*
|
1484
|
+
P = (A2*S*H)MOD M
|
1485
|
+
*/
|
1486
|
+
if (a1 != 0) {
|
1487
|
+
q = m/a1;
|
1488
|
+
k = s/q;
|
1489
|
+
p -= k*(m - a1*q);
|
1490
|
+
if (p > 0) { p -= m; }
|
1491
|
+
p += a1*(s - k*q);
|
1492
|
+
while (p < 0) { p += m; }
|
1493
|
+
}
|
1494
|
+
/*
|
1495
|
+
P = ((A2*H + A1)*S)MOD M
|
1496
|
+
*/
|
1497
|
+
k = p/qh;
|
1498
|
+
p = h*(p-k*qh) - k*rh;
|
1499
|
+
while (p < 0) { p += m; }
|
1500
|
+
}
|
1501
|
+
/*
|
1502
|
+
P = ((A2*H + A1)*H*S)MOD M
|
1503
|
+
*/
|
1504
|
+
if (a0 != 0) {
|
1505
|
+
q = m/a0;
|
1506
|
+
k = s/q;
|
1507
|
+
p -= k*(m-a0*q);
|
1508
|
+
if (p > 0) { p -= m; }
|
1509
|
+
p += a0*(s-k*q);
|
1510
|
+
while (p < 0) { p += m; }
|
1511
|
+
}
|
1512
|
+
return p;
|
1513
|
+
#undef h
|
1514
|
+
}
|
1515
|
+
|
1516
|
+
void phrtsd(char* phrase,long *seed1,long *seed2)
|
1517
|
+
/*
|
1518
|
+
**********************************************************************
|
1519
|
+
void phrtsd(char* phrase,long *seed1,long *seed2)
|
1520
|
+
PHRase To SeeDs
|
1521
|
+
|
1522
|
+
Function
|
1523
|
+
|
1524
|
+
Uses a phrase (character string) to generate two seeds for the RGN
|
1525
|
+
random number generator.
|
1526
|
+
Arguments
|
1527
|
+
phrase --> Phrase to be used for random number generation
|
1528
|
+
|
1529
|
+
seed1 <-- First seed for generator
|
1530
|
+
|
1531
|
+
seed2 <-- Second seed for generator
|
1532
|
+
|
1533
|
+
Note
|
1534
|
+
|
1535
|
+
Trailing blanks are eliminated before the seeds are generated.
|
1536
|
+
Generated seed values will fall in the range 1..2^30
|
1537
|
+
(1..1,073,741,824)
|
1538
|
+
**********************************************************************
|
1539
|
+
*/
|
1540
|
+
{
|
1541
|
+
|
1542
|
+
static char table[] =
|
1543
|
+
"abcdefghijklmnopqrstuvwxyz\
|
1544
|
+
ABCDEFGHIJKLMNOPQRSTUVWXYZ\
|
1545
|
+
0123456789\
|
1546
|
+
!@#$%^&*()_+[];:'\\\"<>?,./ "; /* WGR added space, 5/19/1999 */
|
1547
|
+
|
1548
|
+
long ix;
|
1549
|
+
|
1550
|
+
static long twop30 = 1073741824L;
|
1551
|
+
static long shift[5] = {
|
1552
|
+
1L,64L,4096L,262144L,16777216L
|
1553
|
+
};
|
1554
|
+
|
1555
|
+
#ifdef PHRTSD_ORIG
|
1556
|
+
/*----------------------------- Original phrtsd */
|
1557
|
+
static long i,ichr,j,lphr,values[5];
|
1558
|
+
extern long lennob(char *str);
|
1559
|
+
|
1560
|
+
*seed1 = 1234567890L;
|
1561
|
+
*seed2 = 123456789L;
|
1562
|
+
lphr = lennob(phrase);
|
1563
|
+
if(lphr < 1) return;
|
1564
|
+
for(i=0; i<=(lphr-1); i++) {
|
1565
|
+
for (ix=0; table[ix]; ix++) if (*(phrase+i) == table[ix]) break;
|
1566
|
+
/* JJV added ix++; to bring index in line with fortran's index*/
|
1567
|
+
ix++;
|
1568
|
+
if (!table[ix]) ix = 0;
|
1569
|
+
ichr = ix % 64;
|
1570
|
+
if(ichr == 0) ichr = 63;
|
1571
|
+
for(j=1; j<=5; j++) {
|
1572
|
+
*(values+j-1) = ichr-j;
|
1573
|
+
if(*(values+j-1) < 1) *(values+j-1) += 63;
|
1574
|
+
}
|
1575
|
+
for(j=1; j<=5; j++) {
|
1576
|
+
*seed1 = ( *seed1+*(shift+j-1)**(values+j-1) ) % twop30;
|
1577
|
+
*seed2 = ( *seed2+*(shift+j-1)**(values+6-j-1) ) % twop30;
|
1578
|
+
}
|
1579
|
+
}
|
1580
|
+
#else
|
1581
|
+
/*----------------------------- New phrtsd */
|
1582
|
+
static long i,j, ichr,lphr;
|
1583
|
+
static long values[8] = { 8521739, 5266711, 3254959, 2011673,
|
1584
|
+
1243273, 768389, 474899, 293507 };
|
1585
|
+
extern long lennob(char *str);
|
1586
|
+
|
1587
|
+
*seed1 = 1234567890L;
|
1588
|
+
*seed2 = 123456789L;
|
1589
|
+
lphr = lennob(phrase);
|
1590
|
+
if(lphr < 1) return;
|
1591
|
+
for(i=0; i<(lphr-1); i++) {
|
1592
|
+
ichr = phrase[i];
|
1593
|
+
j = i % 8;
|
1594
|
+
*seed1 = ( *seed1 + (values[j] * ichr) ) % twop30;
|
1595
|
+
*seed2 = ( *seed2 + (values[7-j] * ichr) ) % twop30;
|
1596
|
+
}
|
1597
|
+
#endif
|
1598
|
+
}
|
1599
|
+
|
1600
|
+
double ranf(void)
|
1601
|
+
/*
|
1602
|
+
**********************************************************************
|
1603
|
+
double ranf(void)
|
1604
|
+
RANDom number generator as a Function
|
1605
|
+
Returns a random floating point number from a uniform distribution
|
1606
|
+
over 0 - 1 (endpoints of this interval are not returned) using the
|
1607
|
+
current generator.
|
1608
|
+
This is a transcription from Pascal to C of routine
|
1609
|
+
Uniform_01 from the paper
|
1610
|
+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
|
1611
|
+
with Splitting Facilities." ACM Transactions on Mathematical
|
1612
|
+
Software, 17:98-111 (1991)
|
1613
|
+
WGR, 2/12/01: increased precision.
|
1614
|
+
**********************************************************************
|
1615
|
+
*/
|
1616
|
+
{
|
1617
|
+
static double ranf;
|
1618
|
+
/*
|
1619
|
+
4.656613057E-10 is 1/M1 M1 is set in a data statement in IGNLGI
|
1620
|
+
and is currently 2147483563. If M1 changes, change this also.
|
1621
|
+
*/
|
1622
|
+
ranf = ignlgi()*4.65661305739177E-10;
|
1623
|
+
return ranf;
|
1624
|
+
}
|
1625
|
+
|
1626
|
+
void setgmn(double *meanv,double *covm,long p,double *parm)
|
1627
|
+
/*
|
1628
|
+
**********************************************************************
|
1629
|
+
void setgmn(double *meanv,double *covm,long p,double *parm)
|
1630
|
+
SET Generate Multivariate Normal random deviate
|
1631
|
+
Function
|
1632
|
+
Places P, MEANV, and the Cholesky factorization of COVM
|
1633
|
+
in GENMN.
|
1634
|
+
Arguments
|
1635
|
+
meanv --> Mean vector of multivariate normal distribution.
|
1636
|
+
covm <--> (Input) Covariance matrix of the multivariate
|
1637
|
+
normal distribution
|
1638
|
+
(Output) Destroyed on output
|
1639
|
+
p --> Dimension of the normal, or length of MEANV.
|
1640
|
+
parm <-- Array of parameters needed to generate multivariate norma
|
1641
|
+
deviates (P, MEANV and Cholesky decomposition of
|
1642
|
+
COVM).
|
1643
|
+
1 : 1 - P
|
1644
|
+
2 : P + 1 - MEANV
|
1645
|
+
P+2 : P*(P+3)/2 + 1 - Cholesky decomposition of COVM
|
1646
|
+
Needed dimension is (p*(p+3)/2 + 1)
|
1647
|
+
**********************************************************************
|
1648
|
+
*/
|
1649
|
+
{
|
1650
|
+
extern void spofa(double *a,long lda,long n,long *info);
|
1651
|
+
static long T1;
|
1652
|
+
static long i,icount,info,j,D2,D3,D4,D5;
|
1653
|
+
T1 = p*(p+3)/2+1;
|
1654
|
+
/*
|
1655
|
+
TEST THE INPUT
|
1656
|
+
*/
|
1657
|
+
if(!(p <= 0)) goto S10;
|
1658
|
+
fputs("P nonpositive in SETGMN\n",stderr);
|
1659
|
+
fprintf(stderr,"Value of P: %12ld\n",p);
|
1660
|
+
exit(1);
|
1661
|
+
S10:
|
1662
|
+
*parm = p;
|
1663
|
+
/*
|
1664
|
+
PUT P AND MEANV INTO PARM
|
1665
|
+
*/
|
1666
|
+
for(i=2,D2=1,D3=(p+1-i+D2)/D2; D3>0; D3--,i+=D2) *(parm+i-1) = *(meanv+i-2);
|
1667
|
+
/*
|
1668
|
+
Cholesky decomposition to find A s.t. trans(A)*(A) = COVM
|
1669
|
+
*/
|
1670
|
+
spofa(covm,p,p,&info);
|
1671
|
+
if(!(info != 0)) goto S30;
|
1672
|
+
fputs(" COVM not positive definite in SETGMN\n",stderr);
|
1673
|
+
exit(1);
|
1674
|
+
S30:
|
1675
|
+
icount = p+1;
|
1676
|
+
/*
|
1677
|
+
PUT UPPER HALF OF A, WHICH IS NOW THE CHOLESKY FACTOR, INTO PARM
|
1678
|
+
COVM(1,1) = PARM(P+2)
|
1679
|
+
COVM(1,2) = PARM(P+3)
|
1680
|
+
:
|
1681
|
+
COVM(1,P) = PARM(2P+1)
|
1682
|
+
COVM(2,2) = PARM(2P+2) ...
|
1683
|
+
*/
|
1684
|
+
for(i=1,D4=1,D5=(p-i+D4)/D4; D5>0; D5--,i+=D4) {
|
1685
|
+
for(j=i-1; j<p; j++) {
|
1686
|
+
icount += 1;
|
1687
|
+
*(parm+icount-1) = *(covm+i-1+j*p);
|
1688
|
+
}
|
1689
|
+
}
|
1690
|
+
}
|
1691
|
+
|
1692
|
+
double sexpo(void)
|
1693
|
+
/*
|
1694
|
+
**********************************************************************
|
1695
|
+
|
1696
|
+
|
1697
|
+
(STANDARD-) E X P O N E N T I A L DISTRIBUTION
|
1698
|
+
|
1699
|
+
|
1700
|
+
**********************************************************************
|
1701
|
+
**********************************************************************
|
1702
|
+
|
1703
|
+
FOR DETAILS SEE:
|
1704
|
+
|
1705
|
+
AHRENS, J.H. AND DIETER, U.
|
1706
|
+
COMPUTER METHODS FOR SAMPLING FROM THE
|
1707
|
+
EXPONENTIAL AND NORMAL DISTRIBUTIONS.
|
1708
|
+
COMM. ACM, 15,10 (OCT. 1972), 873 - 882.
|
1709
|
+
|
1710
|
+
ALL STATEMENT NUMBERS CORRESPOND TO THE STEPS OF ALGORITHM
|
1711
|
+
'SA' IN THE ABOVE PAPER (SLIGHTLY MODIFIED IMPLEMENTATION)
|
1712
|
+
|
1713
|
+
Modified by Barry W. Brown, Feb 3, 1988 to use RANF instead of
|
1714
|
+
SUNIF. The argument IR thus goes away.
|
1715
|
+
|
1716
|
+
**********************************************************************
|
1717
|
+
Q(N) = SUM(ALOG(2.0)**K/K!) K=1,..,N , THE HIGHEST N
|
1718
|
+
(HERE 8) IS DETERMINED BY Q(N)=1.0 WITHIN STANDARD PRECISION
|
1719
|
+
*/
|
1720
|
+
{
|
1721
|
+
static double q[8] = {
|
1722
|
+
0.69314718055995, 0.93337368751905, 0.98887779618387, 0.99849592529150,
|
1723
|
+
0.99982928110614, 0.99998331641007, 0.99999856914388, 0.99999989069256
|
1724
|
+
};
|
1725
|
+
static long i;
|
1726
|
+
static double sexpo,a,u,ustar,umin;
|
1727
|
+
static double *q1 = q;
|
1728
|
+
a = 0.0;
|
1729
|
+
u = ranf();
|
1730
|
+
goto S30;
|
1731
|
+
S20:
|
1732
|
+
a += *q1;
|
1733
|
+
S30:
|
1734
|
+
u += u;
|
1735
|
+
/*
|
1736
|
+
* JJV changed the following to reflect the true algorithm and prevent
|
1737
|
+
* JJV unpredictable behavior if U is initially 0.5.
|
1738
|
+
* if(u <= 1.0) goto S20;
|
1739
|
+
*/
|
1740
|
+
if(u < 1.0) goto S20;
|
1741
|
+
u -= 1.0;
|
1742
|
+
if(u > *q1) goto S60;
|
1743
|
+
sexpo = a+u;
|
1744
|
+
return sexpo;
|
1745
|
+
S60:
|
1746
|
+
i = 1;
|
1747
|
+
ustar = ranf();
|
1748
|
+
umin = ustar;
|
1749
|
+
S70:
|
1750
|
+
ustar = ranf();
|
1751
|
+
if(ustar < umin) umin = ustar;
|
1752
|
+
i += 1;
|
1753
|
+
if(u > *(q+i-1)) goto S70;
|
1754
|
+
sexpo = a+umin**q1;
|
1755
|
+
return sexpo;
|
1756
|
+
}
|
1757
|
+
|
1758
|
+
double sgamma(double a)
|
1759
|
+
/*
|
1760
|
+
**********************************************************************
|
1761
|
+
|
1762
|
+
|
1763
|
+
(STANDARD-) G A M M A DISTRIBUTION
|
1764
|
+
|
1765
|
+
|
1766
|
+
**********************************************************************
|
1767
|
+
**********************************************************************
|
1768
|
+
|
1769
|
+
PARAMETER A >= 1.0 !
|
1770
|
+
|
1771
|
+
**********************************************************************
|
1772
|
+
|
1773
|
+
FOR DETAILS SEE:
|
1774
|
+
|
1775
|
+
AHRENS, J.H. AND DIETER, U.
|
1776
|
+
GENERATING GAMMA VARIATES BY A
|
1777
|
+
MODIFIED REJECTION TECHNIQUE.
|
1778
|
+
COMM. ACM, 25,1 (JAN. 1982), 47 - 54.
|
1779
|
+
|
1780
|
+
STEP NUMBERS CORRESPOND TO ALGORITHM 'GD' IN THE ABOVE PAPER
|
1781
|
+
(STRAIGHTFORWARD IMPLEMENTATION)
|
1782
|
+
|
1783
|
+
Modified by Barry W. Brown, Feb 3, 1988 to use RANF instead of
|
1784
|
+
SUNIF. The argument IR thus goes away.
|
1785
|
+
|
1786
|
+
**********************************************************************
|
1787
|
+
|
1788
|
+
PARAMETER 0.0 < A < 1.0 !
|
1789
|
+
|
1790
|
+
**********************************************************************
|
1791
|
+
|
1792
|
+
FOR DETAILS SEE:
|
1793
|
+
|
1794
|
+
AHRENS, J.H. AND DIETER, U.
|
1795
|
+
COMPUTER METHODS FOR SAMPLING FROM GAMMA,
|
1796
|
+
BETA, POISSON AND BINOMIAL DISTRIBUTIONS.
|
1797
|
+
COMPUTING, 12 (1974), 223 - 246.
|
1798
|
+
|
1799
|
+
(ADAPTED IMPLEMENTATION OF ALGORITHM 'GS' IN THE ABOVE PAPER)
|
1800
|
+
|
1801
|
+
**********************************************************************
|
1802
|
+
INPUT: A =PARAMETER (MEAN) OF THE STANDARD GAMMA DISTRIBUTION
|
1803
|
+
OUTPUT: SGAMMA = SAMPLE FROM THE GAMMA-(A)-DISTRIBUTION
|
1804
|
+
COEFFICIENTS Q(K) - FOR Q0 = SUM(Q(K)*A**(-K))
|
1805
|
+
COEFFICIENTS A(K) - FOR Q = Q0+(T*T/2)*SUM(A(K)*V**K)
|
1806
|
+
COEFFICIENTS E(K) - FOR EXP(Q)-1 = SUM(E(K)*Q**K)
|
1807
|
+
PREVIOUS A PRE-SET TO ZERO - AA IS A', AAA IS A"
|
1808
|
+
SQRT32 IS THE SQUAREROOT OF 32 = 5.656854249492380
|
1809
|
+
*/
|
1810
|
+
{
|
1811
|
+
extern double fsign( double num, double sign );
|
1812
|
+
static double q1 = 4.16666664E-2;
|
1813
|
+
static double q2 = 2.08333723E-2;
|
1814
|
+
static double q3 = 7.9849875E-3;
|
1815
|
+
static double q4 = 1.5746717E-3;
|
1816
|
+
static double q5 = -3.349403E-4;
|
1817
|
+
static double q6 = 3.340332E-4;
|
1818
|
+
static double q7 = 6.053049E-4;
|
1819
|
+
static double q8 = -4.701849E-4;
|
1820
|
+
static double q9 = 1.710320E-4;
|
1821
|
+
static double a1 = 0.333333333;
|
1822
|
+
static double a2 = -0.249999949;
|
1823
|
+
static double a3 = 0.199999867;
|
1824
|
+
static double a4 = -0.166677482;
|
1825
|
+
static double a5 = 0.142873973;
|
1826
|
+
static double a6 = -0.124385581;
|
1827
|
+
static double a7 = 0.110368310;
|
1828
|
+
static double a8 = -0.112750886;
|
1829
|
+
static double a9 = 0.104089866;
|
1830
|
+
static double e1 = 1.0;
|
1831
|
+
static double e2 = 0.499999994;
|
1832
|
+
static double e3 = 0.166666848;
|
1833
|
+
static double e4 = 4.1664508E-2;
|
1834
|
+
static double e5 = 8.345522E-3;
|
1835
|
+
static double e6 = 1.353826E-3;
|
1836
|
+
static double e7 = 2.47453E-4;
|
1837
|
+
static double aa = 0.0;
|
1838
|
+
static double aaa = 0.0;
|
1839
|
+
static double sqrt32 = 5.65685424949238;
|
1840
|
+
/* JJV added b0 to fix rare and subtle bug */
|
1841
|
+
static double sgamma,s2,s,d,t,x,u,r,q0,b,b0,si,c,v,q,e,w,p;
|
1842
|
+
if(a == aa) goto S10;
|
1843
|
+
if(a < 1.0) goto S120;
|
1844
|
+
/*
|
1845
|
+
STEP 1: RECALCULATIONS OF S2,S,D IF A HAS CHANGED
|
1846
|
+
*/
|
1847
|
+
aa = a;
|
1848
|
+
s2 = a-0.5;
|
1849
|
+
s = sqrt(s2);
|
1850
|
+
d = sqrt32-12.0*s;
|
1851
|
+
S10:
|
1852
|
+
/*
|
1853
|
+
STEP 2: T=STANDARD NORMAL DEVIATE,
|
1854
|
+
X=(S,1/2)-NORMAL DEVIATE.
|
1855
|
+
IMMEDIATE ACCEPTANCE (I)
|
1856
|
+
*/
|
1857
|
+
t = snorm();
|
1858
|
+
x = s+0.5*t;
|
1859
|
+
sgamma = x*x;
|
1860
|
+
if(t >= 0.0) return sgamma;
|
1861
|
+
/*
|
1862
|
+
STEP 3: U= 0,1 -UNIFORM SAMPLE. SQUEEZE ACCEPTANCE (S)
|
1863
|
+
*/
|
1864
|
+
u = ranf();
|
1865
|
+
if(d*u <= t*t*t) return sgamma;
|
1866
|
+
/*
|
1867
|
+
STEP 4: RECALCULATIONS OF Q0,B,SI,C IF NECESSARY
|
1868
|
+
*/
|
1869
|
+
if(a == aaa) goto S40;
|
1870
|
+
aaa = a;
|
1871
|
+
r = 1.0/a;
|
1872
|
+
q0 = ((((((((q9*r+q8)*r+q7)*r+q6)*r+q5)*r+q4)*r+q3)*r+q2)*r+q1)*r;
|
1873
|
+
/*
|
1874
|
+
APPROXIMATION DEPENDING ON SIZE OF PARAMETER A
|
1875
|
+
THE CONSTANTS IN THE EXPRESSIONS FOR B, SI AND
|
1876
|
+
C WERE ESTABLISHED BY NUMERICAL EXPERIMENTS
|
1877
|
+
*/
|
1878
|
+
if(a <= 3.686) goto S30;
|
1879
|
+
if(a <= 13.022) goto S20;
|
1880
|
+
/*
|
1881
|
+
CASE 3: A .GT. 13.022
|
1882
|
+
*/
|
1883
|
+
b = 1.77;
|
1884
|
+
si = 0.75;
|
1885
|
+
c = 0.1515/s;
|
1886
|
+
goto S40;
|
1887
|
+
S20:
|
1888
|
+
/*
|
1889
|
+
CASE 2: 3.686 .LT. A .LE. 13.022
|
1890
|
+
*/
|
1891
|
+
b = 1.654+7.6E-3*s2;
|
1892
|
+
si = 1.68/s+0.275;
|
1893
|
+
c = 6.2E-2/s+2.4E-2;
|
1894
|
+
goto S40;
|
1895
|
+
S30:
|
1896
|
+
/*
|
1897
|
+
CASE 1: A .LE. 3.686
|
1898
|
+
*/
|
1899
|
+
b = 0.463+s+0.178*s2;
|
1900
|
+
si = 1.235;
|
1901
|
+
c = 0.195/s-7.9E-2+1.6E-1*s;
|
1902
|
+
S40:
|
1903
|
+
/*
|
1904
|
+
STEP 5: NO QUOTIENT TEST IF X NOT POSITIVE
|
1905
|
+
*/
|
1906
|
+
if(x <= 0.0) goto S70;
|
1907
|
+
/*
|
1908
|
+
STEP 6: CALCULATION OF V AND QUOTIENT Q
|
1909
|
+
*/
|
1910
|
+
v = t/(s+s);
|
1911
|
+
if(fabs(v) <= 0.25) goto S50;
|
1912
|
+
q = q0-s*t+0.25*t*t+(s2+s2)*log(1.0+v);
|
1913
|
+
goto S60;
|
1914
|
+
S50:
|
1915
|
+
q = q0+0.5*t*t*((((((((a9*v+a8)*v+a7)*v+a6)*v+a5)*v+a4)*v+a3)*v+a2)*v+a1)*v;
|
1916
|
+
S60:
|
1917
|
+
/*
|
1918
|
+
STEP 7: QUOTIENT ACCEPTANCE (Q)
|
1919
|
+
*/
|
1920
|
+
if(log(1.0-u) <= q) return sgamma;
|
1921
|
+
S70:
|
1922
|
+
/*
|
1923
|
+
STEP 8: E=STANDARD EXPONENTIAL DEVIATE
|
1924
|
+
U= 0,1 -UNIFORM DEVIATE
|
1925
|
+
T=(B,SI)-DOUBLE EXPONENTIAL (LAPLACE) SAMPLE
|
1926
|
+
*/
|
1927
|
+
e = sexpo();
|
1928
|
+
u = ranf();
|
1929
|
+
u += (u-1.0);
|
1930
|
+
t = b+fsign(si*e,u);
|
1931
|
+
/*
|
1932
|
+
STEP 9: REJECTION IF T .LT. TAU(1) = -.71874483771719
|
1933
|
+
*/
|
1934
|
+
if(t < -0.71874483771719) goto S70;
|
1935
|
+
/*
|
1936
|
+
STEP 10: CALCULATION OF V AND QUOTIENT Q
|
1937
|
+
*/
|
1938
|
+
v = t/(s+s);
|
1939
|
+
if(fabs(v) <= 0.25) goto S80;
|
1940
|
+
q = q0-s*t+0.25*t*t+(s2+s2)*log(1.0+v);
|
1941
|
+
goto S90;
|
1942
|
+
S80:
|
1943
|
+
q = q0+0.5*t*t*((((((((a9*v+a8)*v+a7)*v+a6)*v+a5)*v+a4)*v+a3)*v+a2)*v+a1)*v;
|
1944
|
+
S90:
|
1945
|
+
/*
|
1946
|
+
STEP 11: HAT ACCEPTANCE (H) (IF Q NOT POSITIVE GO TO STEP 8)
|
1947
|
+
*/
|
1948
|
+
if(q <= 0.0) goto S70;
|
1949
|
+
if(q <= 0.5) goto S100;
|
1950
|
+
/*
|
1951
|
+
* JJV modified the code through line 115 to handle large Q case
|
1952
|
+
*/
|
1953
|
+
if(q < 15.0) goto S95;
|
1954
|
+
/*
|
1955
|
+
* JJV Here Q is large enough that Q = log(exp(Q) - 1.0) (for real Q)
|
1956
|
+
* JJV so reformulate test at 110 in terms of one EXP, if not too big
|
1957
|
+
* JJV 87.49823 is close to the largest real which can be
|
1958
|
+
* JJV exponentiated (87.49823 = log(1.0E38))
|
1959
|
+
*/
|
1960
|
+
if((q+e-0.5*t*t) > 87.4982335337737) goto S115;
|
1961
|
+
if(c*fabs(u) > exp(q+e-0.5*t*t)) goto S70;
|
1962
|
+
goto S115;
|
1963
|
+
S95:
|
1964
|
+
w = exp(q)-1.0;
|
1965
|
+
goto S110;
|
1966
|
+
S100:
|
1967
|
+
w = ((((((e7*q+e6)*q+e5)*q+e4)*q+e3)*q+e2)*q+e1)*q;
|
1968
|
+
S110:
|
1969
|
+
/*
|
1970
|
+
IF T IS REJECTED, SAMPLE AGAIN AT STEP 8
|
1971
|
+
*/
|
1972
|
+
if(c*fabs(u) > w*exp(e-0.5*t*t)) goto S70;
|
1973
|
+
S115:
|
1974
|
+
x = s+0.5*t;
|
1975
|
+
sgamma = x*x;
|
1976
|
+
return sgamma;
|
1977
|
+
S120:
|
1978
|
+
/*
|
1979
|
+
ALTERNATE METHOD FOR PARAMETERS A BELOW 1 (.3678794=EXP(-1.))
|
1980
|
+
|
1981
|
+
JJV changed B to B0 (which was added to declarations for this)
|
1982
|
+
JJV in 120 to END to fix rare and subtle bug.
|
1983
|
+
JJV Line: 'aa = 0.0' was removed (unnecessary, wasteful).
|
1984
|
+
JJV Reasons: the state of AA only serves to tell the A >= 1.0
|
1985
|
+
JJV case if certain A-dependent constants need to be recalculated.
|
1986
|
+
JJV The A < 1.0 case (here) no longer changes any of these, and
|
1987
|
+
JJV the recalculation of B (which used to change with an
|
1988
|
+
JJV A < 1.0 call) is governed by the state of AAA anyway.
|
1989
|
+
aa = 0.0;
|
1990
|
+
*/
|
1991
|
+
b0 = 1.0+ 0.3678794411714423*a;
|
1992
|
+
S130:
|
1993
|
+
p = b0*ranf();
|
1994
|
+
if(p >= 1.0) goto S140;
|
1995
|
+
sgamma = exp(log(p)/ a);
|
1996
|
+
if(sexpo() < sgamma) goto S130;
|
1997
|
+
return sgamma;
|
1998
|
+
S140:
|
1999
|
+
sgamma = -log((b0-p)/ a);
|
2000
|
+
if(sexpo() < (1.0-a)*log(sgamma)) goto S130;
|
2001
|
+
return sgamma;
|
2002
|
+
}
|
2003
|
+
|
2004
|
+
double snorm(void)
|
2005
|
+
/*
|
2006
|
+
**********************************************************************
|
2007
|
+
|
2008
|
+
|
2009
|
+
(STANDARD-) N O R M A L DISTRIBUTION
|
2010
|
+
|
2011
|
+
|
2012
|
+
**********************************************************************
|
2013
|
+
**********************************************************************
|
2014
|
+
|
2015
|
+
FOR DETAILS SEE:
|
2016
|
+
|
2017
|
+
AHRENS, J.H. AND DIETER, U.
|
2018
|
+
EXTENSIONS OF FORSYTHE'S METHOD FOR RANDOM
|
2019
|
+
SAMPLING FROM THE NORMAL DISTRIBUTION.
|
2020
|
+
MATH. COMPUT., 27,124 (OCT. 1973), 927 - 937.
|
2021
|
+
|
2022
|
+
ALL STATEMENT NUMBERS CORRESPOND TO THE STEPS OF ALGORITHM 'FL'
|
2023
|
+
(M=5) IN THE ABOVE PAPER (SLIGHTLY MODIFIED IMPLEMENTATION)
|
2024
|
+
|
2025
|
+
Modified by Barry W. Brown, Feb 3, 1988 to use RANF instead of
|
2026
|
+
SUNIF. The argument IR thus goes away.
|
2027
|
+
|
2028
|
+
**********************************************************************
|
2029
|
+
THE DEFINITIONS OF THE CONSTANTS A(K), D(K), T(K) AND
|
2030
|
+
H(K) ARE ACCORDING TO THE ABOVEMENTIONED ARTICLE
|
2031
|
+
*/
|
2032
|
+
{
|
2033
|
+
static double a[32] = {
|
2034
|
+
0.0, 0.03917608550309, 0.07841241273311, 0.11776987457909,
|
2035
|
+
0.15731068461017, 0.19709908429430, 0.23720210932878, 0.27769043982157,
|
2036
|
+
0.31863936396437, 0.36012989178957, 0.40225006532172, 0.44509652498551,
|
2037
|
+
0.48877641111466, 0.53340970624127, 0.57913216225555, 0.62609901234641,
|
2038
|
+
0.67448975019607, 0.72451438349236, 0.77642176114792, 0.83051087820539,
|
2039
|
+
0.88714655901887, 0.94678175630104, 1.00999016924958, 1.07751556704027,
|
2040
|
+
1.15034938037600, 1.22985875921658, 1.31801089730353, 1.41779713799625,
|
2041
|
+
1.53412054435253, 1.67593972277344, 1.86273186742164, 2.15387469406144
|
2042
|
+
};
|
2043
|
+
static double d[31] = {
|
2044
|
+
0.0, 0.0, 0.0, 0.0,
|
2045
|
+
0.0, 0.26368432217502, 0.24250845238097, 0.22556744380930,
|
2046
|
+
0.21163416577204, 0.19992426749317, 0.18991075842246, 0.18122518100691,
|
2047
|
+
0.17360140038056, 0.16684190866667, 0.16079672918053, 0.15534971747692,
|
2048
|
+
0.15040938382813, 0.14590257684509, 0.14177003276856, 0.13796317369537,
|
2049
|
+
0.13444176150074, 0.13117215026483, 0.12812596512583, 0.12527909006226,
|
2050
|
+
0.12261088288608, 0.12010355965651, 0.11774170701949, 0.11551189226063,
|
2051
|
+
0.11340234879117, 0.11140272044119, 0.10950385201710
|
2052
|
+
};
|
2053
|
+
static double t[31] = {
|
2054
|
+
7.6738283767E-4, 2.30687039764E-3, 3.86061844387E-3, 5.43845406707E-3,
|
2055
|
+
7.05069876857E-3, 8.70839582019E-3, 1.042356984914E-2, 1.220953194966E-2,
|
2056
|
+
1.408124734637E-2, 1.605578804548E-2, 1.815290075142E-2, 2.039573175398E-2,
|
2057
|
+
2.281176732513E-2, 2.543407332319E-2, 2.830295595118E-2, 3.146822492920E-2,
|
2058
|
+
3.499233438388E-2, 3.895482964836E-2, 4.345878381672E-2, 4.864034918076E-2,
|
2059
|
+
5.468333844273E-2, 6.184222395816E-2, 7.047982761667E-2, 8.113194985866E-2,
|
2060
|
+
9.462443534514E-2, 0.11230007889456, 0.13649799954975, 0.17168856004707,
|
2061
|
+
0.22762405488269, 0.33049802776911, 0.58470309390507
|
2062
|
+
};
|
2063
|
+
static double h[31] = {
|
2064
|
+
3.920617164634E-2, 3.932704963665E-2, 3.950999486086E-2, 3.975702679515E-2,
|
2065
|
+
4.007092772490E-2, 4.045532602655E-2, 4.091480886081E-2, 4.145507115859E-2,
|
2066
|
+
4.208311051344E-2, 4.280748137995E-2, 4.363862733472E-2, 4.458931789605E-2,
|
2067
|
+
4.567522779560E-2, 4.691571371696E-2, 4.833486978119E-2, 4.996298427702E-2,
|
2068
|
+
5.183858644724E-2, 5.401138183398E-2, 5.654656186515E-2, 5.953130423884E-2,
|
2069
|
+
6.308488965373E-2, 6.737503494905E-2, 7.264543556657E-2, 7.926471414968E-2,
|
2070
|
+
8.781922325338E-2, 9.930398323927E-2, 0.11555994154118, 0.14043438342816,
|
2071
|
+
0.18361418337460, 0.27900163464163, 0.70104742502766
|
2072
|
+
};
|
2073
|
+
static long i;
|
2074
|
+
static double snorm,u,s,ustar,aa,w,y,tt;
|
2075
|
+
u = ranf();
|
2076
|
+
s = 0.0;
|
2077
|
+
if(u > 0.5) s = 1.0;
|
2078
|
+
u += (u-s);
|
2079
|
+
u = 32.0*u;
|
2080
|
+
i = (long) (u);
|
2081
|
+
if(i == 32) i = 31;
|
2082
|
+
if(i == 0) goto S100;
|
2083
|
+
/*
|
2084
|
+
START CENTER
|
2085
|
+
*/
|
2086
|
+
ustar = u-(double)i;
|
2087
|
+
aa = *(a+i-1);
|
2088
|
+
S40:
|
2089
|
+
if(ustar <= *(t+i-1)) goto S60;
|
2090
|
+
w = (ustar-*(t+i-1))**(h+i-1);
|
2091
|
+
S50:
|
2092
|
+
/*
|
2093
|
+
EXIT (BOTH CASES)
|
2094
|
+
*/
|
2095
|
+
y = aa+w;
|
2096
|
+
snorm = y;
|
2097
|
+
if(s == 1.0) snorm = -y;
|
2098
|
+
return snorm;
|
2099
|
+
S60:
|
2100
|
+
/*
|
2101
|
+
CENTER CONTINUED
|
2102
|
+
*/
|
2103
|
+
u = ranf();
|
2104
|
+
w = u*(*(a+i)-aa);
|
2105
|
+
tt = (0.5*w+aa)*w;
|
2106
|
+
goto S80;
|
2107
|
+
S70:
|
2108
|
+
tt = u;
|
2109
|
+
ustar = ranf();
|
2110
|
+
S80:
|
2111
|
+
if(ustar > tt) goto S50;
|
2112
|
+
u = ranf();
|
2113
|
+
if(ustar >= u) goto S70;
|
2114
|
+
ustar = ranf();
|
2115
|
+
goto S40;
|
2116
|
+
S100:
|
2117
|
+
/*
|
2118
|
+
START TAIL
|
2119
|
+
*/
|
2120
|
+
i = 6;
|
2121
|
+
aa = *(a+31);
|
2122
|
+
goto S120;
|
2123
|
+
S110:
|
2124
|
+
aa += *(d+i-1);
|
2125
|
+
i += 1;
|
2126
|
+
S120:
|
2127
|
+
u += u;
|
2128
|
+
if(u < 1.0) goto S110;
|
2129
|
+
u -= 1.0;
|
2130
|
+
S140:
|
2131
|
+
w = u**(d+i-1);
|
2132
|
+
tt = (0.5*w+aa)*w;
|
2133
|
+
goto S160;
|
2134
|
+
S150:
|
2135
|
+
tt = u;
|
2136
|
+
S160:
|
2137
|
+
ustar = ranf();
|
2138
|
+
if(ustar > tt) goto S50;
|
2139
|
+
u = ranf();
|
2140
|
+
if(ustar >= u) goto S150;
|
2141
|
+
u = ranf();
|
2142
|
+
goto S140;
|
2143
|
+
}
|
2144
|
+
|
2145
|
+
double fsign( double num, double sign )
|
2146
|
+
/* Transfers sign of argument sign to argument num */
|
2147
|
+
{
|
2148
|
+
if ( ( sign>0.0f && num<0.0f ) || ( sign<0.0f && num>0.0f ) )
|
2149
|
+
return -num;
|
2150
|
+
else return num;
|
2151
|
+
}
|
2152
|
+
|
2153
|
+
/************************************************************************
|
2154
|
+
FTNSTOP:
|
2155
|
+
Prints msg to standard error and then exits
|
2156
|
+
************************************************************************/
|
2157
|
+
void ftnstop(const char* msg)
|
2158
|
+
/* msg - error message */
|
2159
|
+
{
|
2160
|
+
if (msg != NULL) fprintf(stderr,"%s\n",msg);
|
2161
|
+
exit(0);
|
2162
|
+
}
|