blitz/rand-normal.h

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00001 /***************************************************************************
00002  * blitz/rand-normal.h    Random Gaussian (Normal) generator
00003  *
00004  * $Id: rand-normal.h,v 1.4 2003/12/11 03:44:22 julianc Exp $
00005  *
00006  * Copyright (C) 1997-2001 Todd Veldhuizen <tveldhui@oonumerics.org>
00007  *
00008  * This program is free software; you can redistribute it and/or
00009  * modify it under the terms of the GNU General Public License
00010  * as published by the Free Software Foundation; either version 2
00011  * of the License, or (at your option) any later version.
00012  *
00013  * This program is distributed in the hope that it will be useful,
00014  * but WITHOUT ANY WARRANTY; without even the implied warranty of
00015  * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
00016  * GNU General Public License for more details.
00017  *
00018  * Suggestions:          blitz-dev@oonumerics.org
00019  * Bugs:                 blitz-bugs@oonumerics.org
00020  *
00021  * For more information, please see the Blitz++ Home Page:
00022  *    http://oonumerics.org/blitz/
00023  *
00024  ***************************************************************************
00025  *
00026  * This generator transforms a (0,1] uniform distribution into
00027  * a Normal distribution.  Let u,v be (0,1] random variables. Then
00028  *
00029  *    x = sqrt(-2 ln v) cos(pi (2u-1))
00030  *
00031  * is N(0,1) distributed.
00032  *
00033  * Reference: Athanasios Papoulis, "Probability, random variables,
00034  * and stochastic processes," McGraw-Hill : Toronto, 1991.
00035  *
00036  ***************************************************************************/
00037 
00038 #ifndef BZ_RAND_NORMAL_H
00039 #define BZ_RAND_NORMAL_H
00040 
00041 #ifndef BZ_RANDOM_H
00042  #include <blitz/random.h>
00043 #endif
00044 
00045 #ifndef BZ_RAND_UNIFORM_H
00046  #include <blitz/rand-uniform.h>
00047 #endif
00048 
00049 #include <math.h>
00050 
00051 BZ_NAMESPACE(blitz)
00052 
00053 template<typename P_uniform BZ_TEMPLATE_DEFAULT(Uniform)>
00054 class Normal {
00055 
00056 public:
00057     typedef double T_numtype;
00058 
00059     Normal(double mean = 0.0, double variance = 1.0, double = 0.0)
00060         : mean_(mean), sigma_(::sqrt(variance))
00061     { 
00062     }
00063 
00064     void randomize() 
00065     { 
00066         uniform_.randomize();
00067     }
00068   
00069     double random()
00070     { 
00071         double u, v;
00072 
00073         do {
00074             u = uniform_.random();
00075             v = uniform_.random();    
00076         } while (v == 0);
00077 
00078         return mean_ + sigma_ * ::sqrt(-2*::log(v)) * ::cos(M_PI * (2*u - 1));
00079     } 
00080 
00081 private:
00082     double mean_, sigma_;
00083     P_uniform uniform_;
00084 };
00085 
00086 BZ_NAMESPACE_END
00087 
00088 #endif // BZ_RAND_NORMAL_H
00089 

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