/* boost random/gamma_distribution.hpp header file | |
* | |
* Copyright Jens Maurer 2002 | |
* Distributed under the Boost Software License, Version 1.0. (See | |
* accompanying file LICENSE_1_0.txt or copy at | |
* http://www.boost.org/LICENSE_1_0.txt) | |
* | |
* See http://www.boost.org for most recent version including documentation. | |
* | |
* $Id: gamma_distribution.hpp 60755 2010-03-22 00:45:06Z steven_watanabe $ | |
* | |
*/ | |
#ifndef BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP | |
#define BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP | |
#include <boost/config/no_tr1/cmath.hpp> | |
#include <cassert> | |
#include <boost/limits.hpp> | |
#include <boost/static_assert.hpp> | |
#include <boost/random/detail/config.hpp> | |
#include <boost/random/exponential_distribution.hpp> | |
namespace boost { | |
// The algorithm is taken from Knuth | |
/** | |
* The gamma distribution is a continuous distribution with a single | |
* parameter alpha. | |
* | |
* It has \f$p(x) = x^{\alpha-1}\frac{e^{-x}}{\Gamma(\alpha)}\f$. | |
*/ | |
template<class RealType = double> | |
class gamma_distribution | |
{ | |
public: | |
typedef RealType input_type; | |
typedef RealType result_type; | |
#ifndef BOOST_NO_LIMITS_COMPILE_TIME_CONSTANTS | |
BOOST_STATIC_ASSERT(!std::numeric_limits<RealType>::is_integer); | |
#endif | |
explicit gamma_distribution(const result_type& alpha_arg = result_type(1)) | |
: _exp(result_type(1)), _alpha(alpha_arg) | |
{ | |
assert(_alpha > result_type(0)); | |
init(); | |
} | |
// compiler-generated copy ctor and assignment operator are fine | |
RealType alpha() const { return _alpha; } | |
void reset() { _exp.reset(); } | |
template<class Engine> | |
result_type operator()(Engine& eng) | |
{ | |
#ifndef BOOST_NO_STDC_NAMESPACE | |
// allow for Koenig lookup | |
using std::tan; using std::sqrt; using std::exp; using std::log; | |
using std::pow; | |
#endif | |
if(_alpha == result_type(1)) { | |
return _exp(eng); | |
} else if(_alpha > result_type(1)) { | |
// Can we have a boost::mathconst please? | |
const result_type pi = result_type(3.14159265358979323846); | |
for(;;) { | |
result_type y = tan(pi * eng()); | |
result_type x = sqrt(result_type(2)*_alpha-result_type(1))*y | |
+ _alpha-result_type(1); | |
if(x <= result_type(0)) | |
continue; | |
if(eng() > | |
(result_type(1)+y*y) * exp((_alpha-result_type(1)) | |
*log(x/(_alpha-result_type(1))) | |
- sqrt(result_type(2)*_alpha | |
-result_type(1))*y)) | |
continue; | |
return x; | |
} | |
} else /* alpha < 1.0 */ { | |
for(;;) { | |
result_type u = eng(); | |
result_type y = _exp(eng); | |
result_type x, q; | |
if(u < _p) { | |
x = exp(-y/_alpha); | |
q = _p*exp(-x); | |
} else { | |
x = result_type(1)+y; | |
q = _p + (result_type(1)-_p) * pow(x, _alpha-result_type(1)); | |
} | |
if(u >= q) | |
continue; | |
return x; | |
} | |
} | |
} | |
#ifndef BOOST_RANDOM_NO_STREAM_OPERATORS | |
template<class CharT, class Traits> | |
friend std::basic_ostream<CharT,Traits>& | |
operator<<(std::basic_ostream<CharT,Traits>& os, const gamma_distribution& gd) | |
{ | |
os << gd._alpha; | |
return os; | |
} | |
template<class CharT, class Traits> | |
friend std::basic_istream<CharT,Traits>& | |
operator>>(std::basic_istream<CharT,Traits>& is, gamma_distribution& gd) | |
{ | |
is >> std::ws >> gd._alpha; | |
gd.init(); | |
return is; | |
} | |
#endif | |
private: | |
/// \cond hide_private_members | |
void init() | |
{ | |
#ifndef BOOST_NO_STDC_NAMESPACE | |
// allow for Koenig lookup | |
using std::exp; | |
#endif | |
_p = exp(result_type(1)) / (_alpha + exp(result_type(1))); | |
} | |
/// \endcond | |
exponential_distribution<RealType> _exp; | |
result_type _alpha; | |
// some data precomputed from the parameters | |
result_type _p; | |
}; | |
} // namespace boost | |
#endif // BOOST_RANDOM_GAMMA_DISTRIBUTION_HPP |