random_variable 0.0.1.pre
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- 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/com.c
ADDED
@@ -0,0 +1,373 @@
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1
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+
#include "randlib.h"
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2
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+
#include <stdio.h>
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3
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+
#include <stdlib.h>
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4
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static long Xm1,Xm2,Xa1,Xa2,Xcg1[32],Xcg2[32],Xa1w,Xa2w,Xig1[32],Xig2[32],
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5
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Xlg1[32],Xlg2[32],Xa1vw,Xa2vw;
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6
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static long Xqanti[32];
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7
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+
void advnst(long k)
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8
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/*
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9
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**********************************************************************
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10
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void advnst(long k)
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11
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ADV-a-N-ce ST-ate
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12
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+
Advances the state of the current generator by 2^K values and
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13
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resets the initial seed to that value.
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14
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+
This is a transcription from Pascal to Fortran of routine
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15
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Advance_State from the paper
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16
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+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
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17
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+
with Splitting Facilities." ACM Transactions on Mathematical
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18
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+
Software, 17:98-111 (1991)
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19
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Arguments
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20
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k -> The generator is advanced by2^K values
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21
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**********************************************************************
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22
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*/
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23
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{
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24
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#define numg 32L
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25
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extern void gsrgs(long getset,long *qvalue);
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26
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extern void gscgn(long getset,long *g);
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27
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extern long Xm1,Xm2,Xa1,Xa2,Xcg1[],Xcg2[];
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28
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static long g,i,ib1,ib2;
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29
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static long qrgnin;
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30
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+
/*
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31
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Abort unless random number generator initialized
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32
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+
*/
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33
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gsrgs(0L,&qrgnin);
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34
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if(qrgnin) goto S10;
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35
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fputs(" ADVNST called before random generator initialized - ABORT\n",
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stderr);
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37
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exit(1);
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38
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S10:
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39
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gscgn(0L,&g);
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40
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+
ib1 = Xa1;
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41
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+
ib2 = Xa2;
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42
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+
for(i=1; i<=k; i++) {
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43
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+
ib1 = mltmod(ib1,ib1,Xm1);
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44
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+
ib2 = mltmod(ib2,ib2,Xm2);
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45
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+
}
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46
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+
setsd(mltmod(ib1,*(Xcg1+g-1),Xm1),mltmod(ib2,*(Xcg2+g-1),Xm2));
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47
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+
/*
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48
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NOW, IB1 = A1**K AND IB2 = A2**K
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49
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+
*/
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50
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+
#undef numg
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51
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+
}
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52
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void getsd(long *iseed1,long *iseed2)
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53
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+
/*
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54
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**********************************************************************
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55
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void getsd(long *iseed1,long *iseed2)
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56
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GET SeeD
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57
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+
Returns the value of two integer seeds of the current generator
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58
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+
This is a transcription from Pascal to Fortran of routine
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59
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Get_State from the paper
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60
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+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
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61
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with Splitting Facilities." ACM Transactions on Mathematical
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62
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+
Software, 17:98-111 (1991)
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63
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Arguments
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64
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+
iseed1 <- First integer seed of generator G
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65
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iseed2 <- Second integer seed of generator G
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66
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**********************************************************************
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67
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*/
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68
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{
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69
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#define numg 32L
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70
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extern void gsrgs(long getset,long *qvalue);
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71
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extern void gscgn(long getset,long *g);
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72
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extern long Xcg1[],Xcg2[];
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73
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static long g;
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74
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static long qrgnin;
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/*
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76
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Abort unless random number generator initialized
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77
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*/
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78
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gsrgs(0L,&qrgnin);
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79
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if(qrgnin) goto S10;
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80
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fprintf(stderr,"%s\n",
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81
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" GETSD called before random number generator initialized -- abort!");
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82
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exit(0);
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83
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S10:
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84
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gscgn(0L,&g);
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85
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*iseed1 = *(Xcg1+g-1);
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86
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+
*iseed2 = *(Xcg2+g-1);
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87
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+
#undef numg
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88
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}
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89
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long ignlgi(void)
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90
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+
/*
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91
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**********************************************************************
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92
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long ignlgi(void)
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93
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GeNerate LarGe Integer
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94
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Returns a random integer following a uniform distribution over
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95
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(1, 2147483562) using the current generator.
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96
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This is a transcription from Pascal to Fortran of routine
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97
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Random from the paper
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98
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L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
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99
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with Splitting Facilities." ACM Transactions on Mathematical
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100
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Software, 17:98-111 (1991)
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101
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**********************************************************************
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102
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*/
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103
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{
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104
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#define numg 32L
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105
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extern void gsrgs(long getset,long *qvalue);
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106
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extern void gssst(long getset,long *qset);
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107
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extern void gscgn(long getset,long *g);
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108
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extern void inrgcm(void);
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109
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extern long Xm1,Xm2,Xa1,Xa2,Xcg1[],Xcg2[];
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110
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extern long Xqanti[];
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111
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static long ignlgi,curntg,k,s1,s2,z;
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112
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static long qqssd,qrgnin;
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113
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/*
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114
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IF THE RANDOM NUMBER PACKAGE HAS NOT BEEN INITIALIZED YET, DO SO.
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115
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IT CAN BE INITIALIZED IN ONE OF TWO WAYS : 1) THE FIRST CALL TO
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116
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THIS ROUTINE 2) A CALL TO SETALL.
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117
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*/
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118
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gsrgs(0L,&qrgnin);
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119
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if(!qrgnin) inrgcm();
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120
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gssst(0,&qqssd);
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121
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if(!qqssd) setall(1234567890L,123456789L);
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122
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/*
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123
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Get Current Generator
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124
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*/
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125
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gscgn(0L,&curntg);
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126
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s1 = *(Xcg1+curntg-1);
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127
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s2 = *(Xcg2+curntg-1);
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128
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k = s1/53668L;
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129
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s1 = Xa1*(s1-k*53668L)-k*12211;
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130
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if(s1 < 0) s1 += Xm1;
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131
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k = s2/52774L;
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132
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s2 = Xa2*(s2-k*52774L)-k*3791;
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133
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if(s2 < 0) s2 += Xm2;
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134
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*(Xcg1+curntg-1) = s1;
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135
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*(Xcg2+curntg-1) = s2;
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136
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z = s1-s2;
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137
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if(z < 1) z += (Xm1-1);
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138
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if(*(Xqanti+curntg-1)) z = Xm1-z;
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139
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ignlgi = z;
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140
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return ignlgi;
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141
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#undef numg
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142
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+
}
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143
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void initgn(long isdtyp)
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144
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/*
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145
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**********************************************************************
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146
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void initgn(long isdtyp)
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147
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INIT-ialize current G-e-N-erator
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148
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Reinitializes the state of the current generator
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149
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+
This is a transcription from Pascal to C of routine
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150
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Init_Generator from the paper
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151
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+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
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152
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with Splitting Facilities." ACM Transactions on Mathematical
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153
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Software, 17:98-111 (1991)
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154
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Arguments
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155
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isdtyp -> The state to which the generator is to be set
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156
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isdtyp = -1 => sets the seeds to their initial value
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157
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isdtyp = 0 => sets the seeds to the first value of
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158
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the current block
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159
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isdtyp = 1 => sets the seeds to the first value of
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160
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the next block
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161
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WGR, 12/19/00: replaced S10, S20, etc. with C blocks {} per
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162
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original paper.
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163
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**********************************************************************
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164
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*/
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165
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{
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166
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#define numg 32L
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167
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extern void gsrgs(long getset,long *qvalue);
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168
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extern void gscgn(long getset,long *g);
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169
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extern long Xm1,Xm2,Xa1w,Xa2w,Xig1[],Xig2[],Xlg1[],Xlg2[],Xcg1[],Xcg2[];
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170
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static long g;
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171
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static long qrgnin;
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172
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/*
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173
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Abort unless random number generator initialized
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174
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*/
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175
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gsrgs(0L,&qrgnin);
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176
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if (! qrgnin) {
|
177
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fprintf(stderr,"%s\n",
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178
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" INITGN called before random number generator initialized -- abort!");
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179
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exit(1);
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180
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+
}
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181
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+
|
182
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gscgn(0L,&g);
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183
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+
if(isdtyp == -1) { /* Initial seed */
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184
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*(Xlg1+g-1) = *(Xig1+g-1);
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185
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*(Xlg2+g-1) = *(Xig2+g-1);
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186
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+
}
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187
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+
else if (isdtyp == 0) { ; } /* Last seed */
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188
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+
else if (isdtyp == 1) { /* New seed */
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189
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*(Xlg1+g-1) = mltmod(Xa1w,*(Xlg1+g-1),Xm1);
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190
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*(Xlg2+g-1) = mltmod(Xa2w,*(Xlg2+g-1),Xm2);
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191
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} else {
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192
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fprintf(stderr,"%s\n","isdtyp not in range in INITGN");
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193
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exit(1);
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194
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}
|
195
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+
|
196
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*(Xcg1+g-1) = *(Xlg1+g-1);
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197
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*(Xcg2+g-1) = *(Xlg2+g-1);
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198
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#undef numg
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199
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+
}
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200
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+
|
201
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+
void inrgcm(void)
|
202
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/*
|
203
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**********************************************************************
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204
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void inrgcm(void)
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205
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INitialize Random number Generator CoMmon
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206
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Function
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207
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Initializes common area for random number generator. This saves
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208
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the nuisance of a BLOCK DATA routine and the difficulty of
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209
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assuring that the routine is loaded with the other routines.
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210
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**********************************************************************
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211
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+
*/
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212
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{
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213
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#define numg 32L
|
214
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extern void gsrgs(long getset,long *qvalue);
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215
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+
extern long Xm1,Xm2,Xa1,Xa2,Xa1w,Xa2w,Xa1vw,Xa2vw;
|
216
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+
extern long Xqanti[];
|
217
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+
static long T1;
|
218
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+
static long i;
|
219
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+
/*
|
220
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+
V=20; W=30;
|
221
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A1W = MOD(A1**(2**W),M1) A2W = MOD(A2**(2**W),M2)
|
222
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+
A1VW = MOD(A1**(2**(V+W)),M1) A2VW = MOD(A2**(2**(V+W)),M2)
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223
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+
If V or W is changed A1W, A2W, A1VW, and A2VW need to be recomputed.
|
224
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+
An efficient way to precompute a**(2*j) MOD m is to start with
|
225
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a and square it j times modulo m using the function MLTMOD.
|
226
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+
*/
|
227
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+
Xm1 = 2147483563L;
|
228
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+
Xm2 = 2147483399L;
|
229
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+
Xa1 = 40014L;
|
230
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+
Xa2 = 40692L;
|
231
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+
Xa1w = 1033780774L;
|
232
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+
Xa2w = 1494757890L;
|
233
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+
Xa1vw = 2082007225L;
|
234
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+
Xa2vw = 784306273L;
|
235
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+
for(i=0; i<numg; i++) *(Xqanti+i) = 0;
|
236
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+
T1 = 1;
|
237
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+
/*
|
238
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+
Tell the world that common has been initialized
|
239
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+
*/
|
240
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+
gsrgs(1L,&T1);
|
241
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+
#undef numg
|
242
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+
}
|
243
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+
void setall(long iseed1,long iseed2)
|
244
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+
/*
|
245
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+
**********************************************************************
|
246
|
+
void setall(long iseed1,long iseed2)
|
247
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+
SET ALL random number generators
|
248
|
+
Sets the initial seed of generator 1 to ISEED1 and ISEED2. The
|
249
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+
initial seeds of the other generators are set accordingly, and
|
250
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+
all generators states are set to these seeds.
|
251
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+
This is a transcription from Pascal to Fortran of routine
|
252
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+
Set_Initial_Seed from the paper
|
253
|
+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
|
254
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+
with Splitting Facilities." ACM Transactions on Mathematical
|
255
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+
Software, 17:98-111 (1991)
|
256
|
+
Arguments
|
257
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+
iseed1 -> First of two integer seeds
|
258
|
+
iseed2 -> Second of two integer seeds
|
259
|
+
**********************************************************************
|
260
|
+
*/
|
261
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+
{
|
262
|
+
#define numg 32L
|
263
|
+
extern void gsrgs(long getset,long *qvalue);
|
264
|
+
extern void gssst(long getset,long *qset);
|
265
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+
extern void gscgn(long getset,long *g);
|
266
|
+
extern long Xm1,Xm2,Xa1vw,Xa2vw,Xig1[],Xig2[];
|
267
|
+
static long T1;
|
268
|
+
static long g,ocgn;
|
269
|
+
static long qrgnin;
|
270
|
+
T1 = 1;
|
271
|
+
/*
|
272
|
+
TELL IGNLGI, THE ACTUAL NUMBER GENERATOR, THAT THIS ROUTINE
|
273
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+
HAS BEEN CALLED.
|
274
|
+
*/
|
275
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+
gssst(1,&T1);
|
276
|
+
gscgn(0L,&ocgn);
|
277
|
+
/*
|
278
|
+
Initialize Common Block if Necessary
|
279
|
+
*/
|
280
|
+
gsrgs(0L,&qrgnin);
|
281
|
+
if(!qrgnin) inrgcm();
|
282
|
+
*Xig1 = iseed1;
|
283
|
+
*Xig2 = iseed2;
|
284
|
+
initgn(-1L);
|
285
|
+
for(g=2; g<=numg; g++) {
|
286
|
+
*(Xig1+g-1) = mltmod(Xa1vw,*(Xig1+g-2),Xm1);
|
287
|
+
*(Xig2+g-1) = mltmod(Xa2vw,*(Xig2+g-2),Xm2);
|
288
|
+
gscgn(1L,&g);
|
289
|
+
initgn(-1L);
|
290
|
+
}
|
291
|
+
gscgn(1L,&ocgn);
|
292
|
+
#undef numg
|
293
|
+
}
|
294
|
+
void setant(long qvalue)
|
295
|
+
/*
|
296
|
+
**********************************************************************
|
297
|
+
void setant(long qvalue)
|
298
|
+
SET ANTithetic
|
299
|
+
Sets whether the current generator produces antithetic values. If
|
300
|
+
X is the value normally returned from a uniform [0,1] random
|
301
|
+
number generator then 1 - X is the antithetic value. If X is the
|
302
|
+
value normally returned from a uniform [0,N] random number
|
303
|
+
generator then N - 1 - X is the antithetic value.
|
304
|
+
All generators are initialized to NOT generate antithetic values.
|
305
|
+
This is a transcription from Pascal to Fortran of routine
|
306
|
+
Set_Antithetic from the paper
|
307
|
+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
|
308
|
+
with Splitting Facilities." ACM Transactions on Mathematical
|
309
|
+
Software, 17:98-111 (1991)
|
310
|
+
Arguments
|
311
|
+
qvalue -> nonzero if generator G is to generating antithetic
|
312
|
+
values, otherwise zero
|
313
|
+
**********************************************************************
|
314
|
+
*/
|
315
|
+
{
|
316
|
+
#define numg 32L
|
317
|
+
extern void gsrgs(long getset,long *qvalue);
|
318
|
+
extern void gscgn(long getset,long *g);
|
319
|
+
extern long Xqanti[];
|
320
|
+
static long g;
|
321
|
+
static long qrgnin;
|
322
|
+
/*
|
323
|
+
Abort unless random number generator initialized
|
324
|
+
*/
|
325
|
+
gsrgs(0L,&qrgnin);
|
326
|
+
if(qrgnin) goto S10;
|
327
|
+
fprintf(stderr,"%s\n",
|
328
|
+
" SETANT called before random number generator initialized -- abort!");
|
329
|
+
exit(1);
|
330
|
+
S10:
|
331
|
+
gscgn(0L,&g);
|
332
|
+
Xqanti[g-1] = qvalue;
|
333
|
+
#undef numg
|
334
|
+
}
|
335
|
+
void setsd(long iseed1,long iseed2)
|
336
|
+
/*
|
337
|
+
**********************************************************************
|
338
|
+
void setsd(long iseed1,long iseed2)
|
339
|
+
SET S-ee-D of current generator
|
340
|
+
Resets the initial seed of the current generator to ISEED1 and
|
341
|
+
ISEED2. The seeds of the other generators remain unchanged.
|
342
|
+
This is a transcription from Pascal to Fortran of routine
|
343
|
+
Set_Seed from the paper
|
344
|
+
L'Ecuyer, P. and Cote, S. "Implementing a Random Number Package
|
345
|
+
with Splitting Facilities." ACM Transactions on Mathematical
|
346
|
+
Software, 17:98-111 (1991)
|
347
|
+
Arguments
|
348
|
+
iseed1 -> First integer seed
|
349
|
+
iseed2 -> Second integer seed
|
350
|
+
**********************************************************************
|
351
|
+
*/
|
352
|
+
{
|
353
|
+
#define numg 32L
|
354
|
+
extern void gsrgs(long getset,long *qvalue);
|
355
|
+
extern void gscgn(long getset,long *g);
|
356
|
+
extern long Xig1[],Xig2[];
|
357
|
+
static long g;
|
358
|
+
static long qrgnin;
|
359
|
+
/*
|
360
|
+
Abort unless random number generator initialized
|
361
|
+
*/
|
362
|
+
gsrgs(0L,&qrgnin);
|
363
|
+
if(qrgnin) goto S10;
|
364
|
+
fprintf(stderr,"%s\n",
|
365
|
+
" SETSD called before random number generator initialized -- abort!");
|
366
|
+
exit(1);
|
367
|
+
S10:
|
368
|
+
gscgn(0L,&g);
|
369
|
+
*(Xig1+g-1) = iseed1;
|
370
|
+
*(Xig2+g-1) = iseed2;
|
371
|
+
initgn(-1L);
|
372
|
+
#undef numg
|
373
|
+
}
|
data/lib/ext/extconf.rb
ADDED
data/lib/ext/linpack.c
ADDED
@@ -0,0 +1,91 @@
|
|
1
|
+
#include <math.h>
|
2
|
+
double sdot(long n,double *sx,long incx,double *sy,long incy)
|
3
|
+
{
|
4
|
+
static long i,ix,iy,m,mp1;
|
5
|
+
static double sdot,stemp;
|
6
|
+
stemp = sdot = 0.0;
|
7
|
+
if(n <= 0) return sdot;
|
8
|
+
if(incx == 1 && incy == 1) goto S20;
|
9
|
+
ix = iy = 1;
|
10
|
+
if(incx < 0) ix = (-n+1)*incx+1;
|
11
|
+
if(incy < 0) iy = (-n+1)*incy+1;
|
12
|
+
for(i=1; i<=n; i++) {
|
13
|
+
stemp += (*(sx+ix-1)**(sy+iy-1));
|
14
|
+
ix += incx;
|
15
|
+
iy += incy;
|
16
|
+
}
|
17
|
+
sdot = stemp;
|
18
|
+
return sdot;
|
19
|
+
S20:
|
20
|
+
m = n % 5L;
|
21
|
+
if(m == 0) goto S40;
|
22
|
+
for(i=0; i<m; i++) stemp += (*(sx+i)**(sy+i));
|
23
|
+
if(n < 5) goto S60;
|
24
|
+
S40:
|
25
|
+
mp1 = m+1;
|
26
|
+
for(i=mp1; i<=n; i+=5) stemp += (*(sx+i-1)**(sy+i-1)+*(sx+i)**(sy+i)+*(sx+i
|
27
|
+
+1)**(sy+i+1)+*(sx+i+2)**(sy+i+2)+*(sx+i+3)**(sy+i+3));
|
28
|
+
S60:
|
29
|
+
sdot = stemp;
|
30
|
+
return sdot;
|
31
|
+
}
|
32
|
+
void spofa(double *a,long lda,long n,long *info)
|
33
|
+
/*
|
34
|
+
SPOFA FACTORS A REAL SYMMETRIC POSITIVE DEFINITE MATRIX.
|
35
|
+
SPOFA IS USUALLY CALLED BY SPOCO, BUT IT CAN BE CALLED
|
36
|
+
DIRECTLY WITH A SAVING IN TIME IF RCOND IS NOT NEEDED.
|
37
|
+
(TIME FOR SPOCO) = (1 + 18/N)*(TIME FOR SPOFA) .
|
38
|
+
ON ENTRY
|
39
|
+
A REAL(LDA, N)
|
40
|
+
THE SYMMETRIC MATRIX TO BE FACTORED. ONLY THE
|
41
|
+
DIAGONAL AND UPPER TRIANGLE ARE USED.
|
42
|
+
LDA INTEGER
|
43
|
+
THE LEADING DIMENSION OF THE ARRAY A .
|
44
|
+
N INTEGER
|
45
|
+
THE ORDER OF THE MATRIX A .
|
46
|
+
ON RETURN
|
47
|
+
A AN UPPER TRIANGULAR MATRIX R SO THAT A = TRANS(R)*R
|
48
|
+
WHERE TRANS(R) IS THE TRANSPOSE.
|
49
|
+
THE STRICT LOWER TRIANGLE IS UNALTERED.
|
50
|
+
IF INFO .NE. 0 , THE FACTORIZATION IS NOT COMPLETE.
|
51
|
+
INFO INTEGER
|
52
|
+
= 0 FOR NORMAL RETURN.
|
53
|
+
= K SIGNALS AN ERROR CONDITION. THE LEADING MINOR
|
54
|
+
OF ORDER K IS NOT POSITIVE DEFINITE.
|
55
|
+
LINPACK. THIS VERSION DATED 08/14/78 .
|
56
|
+
CLEVE MOLER, UNIVERSITY OF NEW MEXICO, ARGONNE NATIONAL LAB.
|
57
|
+
SUBROUTINES AND FUNCTIONS
|
58
|
+
BLAS SDOT
|
59
|
+
FORTRAN SQRT
|
60
|
+
INTERNAL VARIABLES
|
61
|
+
*/
|
62
|
+
{
|
63
|
+
extern double sdot(long n,double *sx,long incx,double *sy,long incy);
|
64
|
+
static long j,jm1,k;
|
65
|
+
static double t,s;
|
66
|
+
/*
|
67
|
+
BEGIN BLOCK WITH ...EXITS TO 40
|
68
|
+
*/
|
69
|
+
for(j=1; j<=n; j++) {
|
70
|
+
*info = j;
|
71
|
+
s = 0.0;
|
72
|
+
jm1 = j-1;
|
73
|
+
if(jm1 < 1) goto S20;
|
74
|
+
for(k=0; k<jm1; k++) {
|
75
|
+
t = *(a+k+(j-1)*lda)-sdot(k,(a+k*lda),1L,(a+(j-1)*lda),1L);
|
76
|
+
t /= *(a+k+k*lda);
|
77
|
+
*(a+k+(j-1)*lda) = t;
|
78
|
+
s += (t*t);
|
79
|
+
}
|
80
|
+
S20:
|
81
|
+
s = *(a+j-1+(j-1)*lda)-s;
|
82
|
+
/*
|
83
|
+
......EXIT
|
84
|
+
*/
|
85
|
+
if(s <= 0.0) goto S40;
|
86
|
+
*(a+j-1+(j-1)*lda) = sqrt(s);
|
87
|
+
}
|
88
|
+
*info = 0;
|
89
|
+
S40:
|
90
|
+
return;
|
91
|
+
}
|