public static double NormalGreaterThan(double lowerBound, IPolyrand random = null)
{
if (lowerBound < 1)
{
// simple rejection
while (true)
{
double x = Rand.Normal(random);
if (x >= lowerBound)
{
return(x);
}
}
}
else
{
// lowerBound >= 1
if (false)
{
// Devroye's (Ch.9) rejection sampler with x ~ Exp(lowerBound)
// requires lowerBound > 0
double c = 2 * lowerBound * lowerBound;
while (true)
{
// note it is possible to generate two exponential r.v.s with a single logarithm (Devroye Ch.9 sec.2.1)
double E = -System.Math.Log(NextDouble(random));
double E2 = -System.Math.Log(NextDouble(random));
if (E * E <= c * E2)
{
return(lowerBound + E / lowerBound);
}
}
}
else
{
// Marsaglia's (1964) rejection sampler (Devroye Ch.9)
// Reference: "Non-Uniform Random Variate Generation" by Luc Devroye (1986)
double c = lowerBound * lowerBound * 0.5;
while (true)
{
double U = NextDouble(random);
double V = NextDouble(random);
double x = c - System.Math.Log(U);
if (V * V * x <= c)
{
return(System.Math.Sqrt(2 * x));
}
}
}
throw new Exception("failed to sample");
}
}
public static int Poisson(double mean, IPolyrand random = null)
{
// TODO: There are more efficient samplers
if (mean < 0)
{
throw new ArgumentException("mean < 0");
}
else if (mean == 0.0)
{
return(0);
}
else if (mean < 10)
{
double L = System.Math.Exp(-mean);
double p = 1.0;
int k = 0;
do
{
k++;
p *= NextDouble(random);
} while (p > L);
return(k - 1);
}
else
{
// mean >= 10
// Devroye ch10.3, with corrections
// Reference: "Non-Uniform Random Variate Generation" by Luc Devroye (1986)
double mu = System.Math.Floor(mean);
double muLogFact = MMath.GammaLn(mu + 1);
double logMeanMu = System.Math.Log(mean / mu);
double delta = System.Math.Max(6, System.Math.Min(mu, System.Math.Sqrt(2 * mu * System.Math.Log(128 * mu / System.Math.PI))));
double c1 = System.Math.Sqrt(System.Math.PI * mu / 2);
double c2 = c1 + System.Math.Sqrt(System.Math.PI * (mu + delta / 2) / 2) * System.Math.Exp(1 / (2 * mu + delta));
double c3 = c2 + 2;
double c4 = c3 + System.Math.Exp(1.0 / 78);
double c = c4 + 2 / delta * (2 * mu + delta) * System.Math.Exp(-delta / (2 * mu + delta) * (1 + delta / 2));
while (true)
{
double u = NextDouble(random) * c;
double x, w;
if (u <= c1)
{
double n = Rand.Normal(random);
double y = -System.Math.Abs(n) * System.Math.Sqrt(mu) - 1;
x = System.Math.Floor(y);
if (x < -mu)
{
continue;
}
w = -n * n / 2;
}
else if (u <= c2)
{
double n = Rand.Normal(random);
double y = 1 + System.Math.Abs(n) * System.Math.Sqrt(mu + delta / 2);
x = System.Math.Ceiling(y);
if (x > delta)
{
continue;
}
w = (2 - y) * y / (2 * mu + delta);
}
else if (u <= c3)
{
x = 0;
w = 0;
}
else if (u <= c4)
{
x = 1;
w = 0;
}
else
{
double v = -System.Math.Log(NextDouble(random));
double y = delta + v * 2 / delta * (2 * mu + delta);
x = System.Math.Ceiling(y);
w = -delta / (2 * mu + delta) * (1 + y / 2);
}
double e = -System.Math.Log(NextDouble(random));
w -= e + x * logMeanMu;
double qx = x * System.Math.Log(mu) - MMath.GammaLn(mu + x + 1) + muLogFact;
if (w <= qx)
{
return((int)System.Math.Round(x + mu));
}
}
}
}
/// <summary>
/// Sample from a Gaussian(0,1) truncated at the given upper and lower bounds
/// </summary>
/// <param name="lowerBound">Can be -Infinity.</param>
/// <param name="upperBound">Must be >= <paramref name="lowerBound"/>. Can be Infinity.</param>
/// <returns>A real number >= <paramref name="lowerBound"/> and < <paramref name="upperBound"/></returns>
public static double NormalBetween(double lowerBound, double upperBound, IPolyrand random = null)
{
if (double.IsNaN(lowerBound))
{
throw new ArgumentException("lowerBound is NaN");
}
if (double.IsNaN(upperBound))
{
throw new ArgumentException("upperBound is NaN");
}
double delta = upperBound - lowerBound;
if (delta == 0)
{
return(lowerBound);
}
if (delta < 0)
{
throw new ArgumentException("upperBound (" + upperBound + ") < lowerBound (" + lowerBound + ")");
}
// Switch between the following 3 options:
// 1. Gaussian rejection, with acceptance rate Z = NormalCdf(upperBound) - NormalCdf(lowerBound)
// 2. Uniform rejection, with acceptance rate sqrt(2*pi)*Z/delta if the interval contains 0
// 3. Truncated exponential rejection, with acceptance rate
// = sqrt(2*pi)*Z*lambda*exp(-lambda^2/2)/(exp(-lambda*lowerBound)-exp(-lambda*upperBound))
// = sqrt(2*pi)*Z*lowerBound*exp(lowerBound^2/2)/(1-exp(-lowerBound*(upperBound-lowerBound)))
// (3) has the highest acceptance rate under the following conditions:
// lowerBound > 0.5 or (lowerBound > 0 and delta < 2.5)
// (2) has the highest acceptance rate if the interval contains 0 and delta < sqrt(2*pi)
// (1) has the highest acceptance rate otherwise
if (lowerBound > 0.5 || (lowerBound > 0 && delta < 2.5))
{
// Rejection sampler using truncated exponential proposal
double lambda = lowerBound;
double s = MMath.ExpMinus1(-lambda * delta);
double c = 2 * lambda * lambda;
while (true)
{
double x = -MMath.Log1Plus(s * NextDouble(random));
double u = -System.Math.Log(NextDouble(random));
if (c * u > x * x)
{
return(x / lambda + lowerBound);
}
}
throw new Exception("failed to sample");
}
else if (upperBound < -0.5 || (upperBound < 0 && delta < 2.5))
{
return(-NormalBetween(-upperBound, -lowerBound));
}
else if (lowerBound <= 0 && upperBound >= 0 && delta < MMath.Sqrt2PI)
{
// Uniform rejection
while (true)
{
double x = NextDouble(random) * delta + lowerBound;
double u = -System.Math.Log(NextDouble(random));
if (2 * u > x * x)
{
return(x);
}
}
}
else
{
// Gaussian rejection
while (true)
{
double x = Rand.Normal(random);
if (x >= lowerBound && x < upperBound)
{
return(x);
}
}
}
}