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""" |
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Random kit 1.3 |
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Copyright (c) 2003-2005, Jean-Sebastien Roy (js@jeannot.org) |
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The rk_random and rk_seed functions algorithms and the original design of |
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the Mersenne Twister RNG: |
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Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura, |
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All rights reserved. |
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Redistribution and use in source and binary forms, with or without |
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modification, are permitted provided that the following conditions |
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are met: |
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1. Redistributions of source code must retain the above copyright |
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notice, this list of conditions and the following disclaimer. |
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2. Redistributions in binary form must reproduce the above copyright |
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notice, this list of conditions and the following disclaimer in the |
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documentation and/or other materials provided with the distribution. |
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3. The names of its contributors may not be used to endorse or promote |
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products derived from this software without specific prior written |
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permission. |
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS |
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"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT |
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LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR |
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A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR |
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CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, |
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EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, |
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PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR |
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PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF |
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LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING |
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NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS |
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SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. |
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Original algorithm for the implementation of rk_interval function from |
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Richard J. Wagner's implementation of the Mersenne Twister RNG, optimised by |
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Magnus Jonsson. |
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Constants used in the rk_double implementation by Isaku Wada. |
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Permission is hereby granted, free of charge, to any person obtaining a |
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copy of this software and associated documentation files (the |
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|
"Software"), to deal in the Software without restriction, including |
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without limitation the rights to use, copy, modify, merge, publish, |
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|
distribute, sublicense, and/or sell copies of the Software, and to |
|
|
permit persons to whom the Software is furnished to do so, subject to |
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|
the following conditions: |
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|
|
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The above copyright notice and this permission notice shall be included |
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|
in all copies or substantial portions of the Software. |
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS |
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OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF |
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MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. |
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IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY |
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CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, |
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TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE |
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SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. |
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""" |
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from cupy import _core |
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rk_use_binominal = ''' |
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#define CUPY_USE_BINOMIAL |
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''' |
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rk_basic_definition = ''' |
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typedef struct { |
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unsigned int xor128[4]; |
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double gauss; |
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int has_gauss; // !=0: gauss contains a gaussian deviate |
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#ifdef CUPY_USE_BINOMIAL |
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int has_binomial; // !=0: following parameters initialized for binomial |
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/* The rk_state structure has been extended to store the following |
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* information for the binomial generator. If the input values of n or p |
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* are different than nsave and psave, then the other parameters will be |
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* recomputed. RTK 2005-09-02 */ |
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int nsave, m; |
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double psave, r, q, fm, p1, xm, xl, xr, c, laml, lamr, p2, p3, p4; |
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#endif |
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} rk_state; |
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__device__ void rk_seed(unsigned long long s, rk_state *state) { |
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for (int i = 1; i <= 4; i++) { |
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s = 1812433253U * (s ^ (s >> 30)) + i; |
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state->xor128[i - 1] = s; |
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} |
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state->has_gauss = 0; |
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#ifdef CUPY_USE_BINOMIAL |
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state->has_binomial = 0; |
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#endif |
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} |
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__device__ unsigned long rk_random(rk_state *state) { |
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unsigned int *xor128 = state->xor128; |
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unsigned int t = xor128[0] ^ (xor128[0] << 11); |
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xor128[0] = xor128[1]; |
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xor128[1] = xor128[2]; |
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xor128[2] = xor128[3]; |
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return xor128[3] ^= (xor128[3] >> 19) ^ t ^ (t >> 8); |
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} |
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__device__ double rk_double(rk_state *state) { |
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/* shifts : 67108864 = 0x4000000, 9007199254740992 = 0x20000000000000 */ |
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int a = rk_random(state) >> 5, b = rk_random(state) >> 6; |
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return (a * 67108864.0 + b) / 9007199254740992.0; |
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} |
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''' |
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""" |
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/* Copyright 2005 Robert Kern (robert.kern@gmail.com) |
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* |
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* Permission is hereby granted, free of charge, to any person obtaining a |
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* copy of this software and associated documentation files (the |
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|
* "Software"), to deal in the Software without restriction, including |
|
|
* without limitation the rights to use, copy, modify, merge, publish, |
|
|
* distribute, sublicense, and/or sell copies of the Software, and to |
|
|
* permit persons to whom the Software is furnished to do so, subject to |
|
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* the following conditions: |
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* |
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* The above copyright notice and this permission notice shall be included |
|
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* in all copies or substantial portions of the Software. |
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* |
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* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS |
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* OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF |
|
|
* MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. |
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* IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY |
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|
* CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, |
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* TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE |
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* SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. |
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*/ |
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/* The implementations of rk_hypergeometric_hyp(), rk_hypergeometric_hrua(), |
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* and rk_triangular() were adapted from Ivan Frohne's rv.py which has this |
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* license: |
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* |
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* Copyright 1998 by Ivan Frohne; Wasilla, Alaska, U.S.A. |
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* All Rights Reserved |
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* |
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* Permission to use, copy, modify and distribute this software and its |
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* documentation for any purpose, free of charge, is granted subject to the |
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* following conditions: |
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* The above copyright notice and this permission notice shall be included in |
|
|
* all copies or substantial portions of the software. |
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* |
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* THE SOFTWARE AND DOCUMENTATION IS PROVIDED WITHOUT WARRANTY OF ANY KIND, |
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* EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO MERCHANTABILITY, FITNESS |
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|
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHOR |
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* OR COPYRIGHT HOLDER BE LIABLE FOR ANY CLAIM OR DAMAGES IN A CONTRACT |
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* ACTION, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE |
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* SOFTWARE OR ITS DOCUMENTATION. |
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*/ |
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""" |
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loggam_definition = ''' |
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/* |
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* log-gamma function to support some of these distributions. The |
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* algorithm comes from SPECFUN by Shanjie Zhang and Jianming Jin and their |
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* book "Computation of Special Functions", 1996, John Wiley & Sons, Inc. |
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*/ |
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static __device__ double loggam(double x) { |
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double x0, x2, xp, gl, gl0; |
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long k, n; |
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double a[10] = {8.333333333333333e-02,-2.777777777777778e-03, |
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7.936507936507937e-04,-5.952380952380952e-04, |
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8.417508417508418e-04,-1.917526917526918e-03, |
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6.410256410256410e-03,-2.955065359477124e-02, |
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1.796443723688307e-01,-1.39243221690590e+00}; |
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x0 = x; |
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n = 0; |
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if ((x == 1.0) || (x == 2.0)) { |
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return 0.0; |
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} else if (x <= 7.0) { |
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n = (long)(7 - x); |
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x0 = x + n; |
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} |
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x2 = 1.0/(x0*x0); |
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xp = 2*M_PI; |
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gl0 = a[9]; |
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for (k=8; k>=0; k--) { |
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gl0 *= x2; |
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gl0 += a[k]; |
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} |
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gl = gl0/x0 + 0.5*log(xp) + (x0-0.5)*log(x0) - x0; |
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if (x <= 7.0) { |
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for (k=1; k<=n; k++) { |
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gl -= log(x0-1.0); |
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x0 -= 1.0; |
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} |
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} |
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return gl; |
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} |
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''' |
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rk_standard_exponential_definition = ''' |
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__device__ double rk_standard_exponential(rk_state *state) { |
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/* We use -log(1-U) since U is [0, 1) */ |
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return -log(1.0 - rk_double(state)); |
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} |
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''' |
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rk_standard_gamma_definition = ''' |
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__device__ double rk_standard_gamma(rk_state *state, double shape) { |
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double b, c; |
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double U, V, X, Y; |
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if (shape == 1.0) { |
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return rk_standard_exponential(state); |
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} else if (shape < 1.0) { |
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for (;;) { |
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U = rk_double(state); |
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V = rk_standard_exponential(state); |
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if (U <= 1.0 - shape) { |
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X = pow(U, 1./shape); |
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if (X <= V) { |
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return X; |
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} |
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} else { |
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Y = -log((1-U)/shape); |
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X = pow(1.0 - shape + shape*Y, 1./shape); |
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if (X <= (V + Y)) { |
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return X; |
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} |
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} |
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} |
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} else { |
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b = shape - 1./3.; |
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c = 1./sqrt(9*b); |
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for (;;) { |
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do { |
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X = rk_gauss(state); |
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V = 1.0 + c*X; |
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} while (V <= 0.0); |
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V = V*V*V; |
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U = rk_double(state); |
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if (U < 1.0 - 0.0331*(X*X)*(X*X)) return (b*V); |
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if (log(U) < 0.5*X*X + b*(1. - V + log(V))) return (b*V); |
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} |
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} |
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} |
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''' |
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rk_beta_definition = ''' |
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__device__ double rk_beta(rk_state *state, double a, double b) { |
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double Ga, Gb; |
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if ((a <= 1.0) && (b <= 1.0)) { |
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double U, V, X, Y; |
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/* Use Johnk's algorithm */ |
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while (1) { |
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U = rk_double(state); |
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V = rk_double(state); |
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X = pow(U, 1.0/a); |
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Y = pow(V, 1.0/b); |
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if ((X + Y) <= 1.0) { |
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if (X +Y > 0) { |
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return X / (X + Y); |
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} else { |
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double logX = log(U) / a; |
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double logY = log(V) / b; |
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double logM = logX > logY ? logX : logY; |
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logX -= logM; |
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logY -= logM; |
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return exp(logX - log(exp(logX) + exp(logY))); |
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} |
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} |
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} |
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} else { |
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Ga = rk_standard_gamma(state, a); |
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Gb = rk_standard_gamma(state, b); |
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return Ga/(Ga + Gb); |
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} |
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} |
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''' |
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rk_chisquare_definition = ''' |
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__device__ double rk_chisquare(rk_state *state, double df) { |
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return 2.0*rk_standard_gamma(state, df/2.0); |
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} |
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''' |
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rk_noncentral_chisquare_definition = ''' |
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__device__ double rk_noncentral_chisquare( |
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rk_state *state, double df, double nonc) |
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{ |
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if (nonc == 0){ |
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return rk_chisquare(state, df); |
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} |
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if(1 < df) |
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{ |
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const double Chi2 = rk_chisquare(state, df - 1); |
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const double N = rk_gauss(state) + sqrt(nonc); |
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return Chi2 + N*N; |
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} |
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else |
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{ |
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const long i = rk_poisson(state, nonc / 2.0); |
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return rk_chisquare(state, df + 2 * i); |
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} |
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} |
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''' |
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rk_f_definition = ''' |
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__device__ double rk_f(rk_state *state, double dfnum, double dfden) { |
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return ((rk_chisquare(state, dfnum) * dfden) / |
|
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(rk_chisquare(state, dfden) * dfnum)); |
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} |
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''' |
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rk_noncentral_f_definition = ''' |
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__device__ double rk_noncentral_f( |
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rk_state *state, double dfnum, double dfden, double nonc) |
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{ |
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double t = rk_noncentral_chisquare(state, dfnum, nonc) * dfden; |
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return t / (rk_chisquare(state, dfden) * dfnum); |
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} |
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''' |
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rk_binomial_definition = ''' |
|
|
__device__ long rk_binomial_btpe(rk_state *state, long n, double p) { |
|
|
double r,q,fm,p1,xm,xl,xr,c,laml,lamr,p2,p3,p4; |
|
|
double a,u,v,s,F,rho,t,A,nrq,x1,x2,f1,f2,z,z2,w,w2,x; |
|
|
int m,y,k,i; |
|
|
if (!(state->has_binomial) || |
|
|
(state->nsave != n) || |
|
|
(state->psave != p)) { |
|
|
/* initialize */ |
|
|
state->nsave = n; |
|
|
state->psave = p; |
|
|
state->has_binomial = 1; |
|
|
state->r = r = min(p, 1.0-p); |
|
|
state->q = q = 1.0 - r; |
|
|
state->fm = fm = n*r+r; |
|
|
state->m = m = (long)floor(state->fm); |
|
|
state->p1 = p1 = floor(2.195*sqrt(n*r*q)-4.6*q) + 0.5; |
|
|
state->xm = xm = m + 0.5; |
|
|
state->xl = xl = xm - p1; |
|
|
state->xr = xr = xm + p1; |
|
|
state->c = c = 0.134 + 20.5/(15.3 + m); |
|
|
a = (fm - xl)/(fm-xl*r); |
|
|
state->laml = laml = a*(1.0 + a/2.0); |
|
|
a = (xr - fm)/(xr*q); |
|
|
state->lamr = lamr = a*(1.0 + a/2.0); |
|
|
state->p2 = p2 = p1*(1.0 + 2.0*c); |
|
|
state->p3 = p3 = p2 + c/laml; |
|
|
state->p4 = p4 = p3 + c/lamr; |
|
|
} else { |
|
|
r = state->r; |
|
|
q = state->q; |
|
|
fm = state->fm; |
|
|
m = state->m; |
|
|
p1 = state->p1; |
|
|
xm = state->xm; |
|
|
xl = state->xl; |
|
|
xr = state->xr; |
|
|
c = state->c; |
|
|
laml = state->laml; |
|
|
lamr = state->lamr; |
|
|
p2 = state->p2; |
|
|
p3 = state->p3; |
|
|
p4 = state->p4; |
|
|
} |
|
|
/* sigh ... */ |
|
|
Step10: |
|
|
nrq = n*r*q; |
|
|
u = rk_double(state)*p4; |
|
|
v = rk_double(state); |
|
|
if (u > p1) goto Step20; |
|
|
y = (long)floor(xm - p1*v + u); |
|
|
goto Step60; |
|
|
Step20: |
|
|
if (u > p2) goto Step30; |
|
|
x = xl + (u - p1)/c; |
|
|
v = v*c + 1.0 - fabs(m - x + 0.5)/p1; |
|
|
if (v > 1.0) goto Step10; |
|
|
y = (long)floor(x); |
|
|
goto Step50; |
|
|
Step30: |
|
|
if (u > p3) goto Step40; |
|
|
y = (long)floor(xl + log(v)/laml); |
|
|
if (y < 0) goto Step10; |
|
|
v = v*(u-p2)*laml; |
|
|
goto Step50; |
|
|
Step40: |
|
|
y = (long)floor(xr - log(v)/lamr); |
|
|
if (y > n) goto Step10; |
|
|
v = v*(u-p3)*lamr; |
|
|
Step50: |
|
|
k = labs(y - m); |
|
|
if ((k > 20) && (k < ((nrq)/2.0 - 1))) goto Step52; |
|
|
s = r/q; |
|
|
a = s*(n+1); |
|
|
F = 1.0; |
|
|
if (m < y) { |
|
|
for (i=m+1; i<=y; i++) { |
|
|
F *= (a/i - s); |
|
|
} |
|
|
} else if (m > y) { |
|
|
for (i=y+1; i<=m; i++) { |
|
|
F /= (a/i - s); |
|
|
} |
|
|
} |
|
|
if (v > F) goto Step10; |
|
|
goto Step60; |
|
|
Step52: |
|
|
rho = (k/(nrq))*((k*(k/3.0 + 0.625) + 0.16666666666666666)/nrq + 0.5); |
|
|
t = -k*k/(2*nrq); |
|
|
A = log(v); |
|
|
if (A < (t - rho)) goto Step60; |
|
|
if (A > (t + rho)) goto Step10; |
|
|
x1 = y+1; |
|
|
f1 = m+1; |
|
|
z = n+1-m; |
|
|
w = n-y+1; |
|
|
x2 = x1*x1; |
|
|
f2 = f1*f1; |
|
|
z2 = z*z; |
|
|
w2 = w*w; |
|
|
if (A > (xm*log(f1/x1) |
|
|
+ (n-m+0.5)*log(z/w) |
|
|
+ (y-m)*log(w*r/(x1*q)) |
|
|
+ (13680.-(462.-(132.-(99.-140./f2)/f2)/f2)/f2)/f1/166320. |
|
|
+ (13680.-(462.-(132.-(99.-140./z2)/z2)/z2)/z2)/z/166320. |
|
|
+ (13680.-(462.-(132.-(99.-140./x2)/x2)/x2)/x2)/x1/166320. |
|
|
+ (13680.-(462.-(132.-(99.-140./w2)/w2)/w2)/w2)/w/166320.)) { |
|
|
goto Step10; |
|
|
} |
|
|
Step60: |
|
|
if (p > 0.5) { |
|
|
y = n - y; |
|
|
} |
|
|
return y; |
|
|
} |
|
|
|
|
|
__device__ long rk_binomial_inversion(rk_state *state, int n, double p) { |
|
|
double q, qn, np, px, U; |
|
|
int X, bound; |
|
|
if (!(state->has_binomial) || |
|
|
(state->nsave != n) || |
|
|
(state->psave != p)) { |
|
|
state->nsave = n; |
|
|
state->psave = p; |
|
|
state->has_binomial = 1; |
|
|
state->q = q = 1.0 - p; |
|
|
state->r = qn = exp(n * log(q)); |
|
|
state->c = np = n*p; |
|
|
state->m = bound = min((double)n, np + 10.0*sqrt(np*q + 1)); |
|
|
} else { |
|
|
q = state->q; |
|
|
qn = state->r; |
|
|
np = state->c; |
|
|
bound = state->m; |
|
|
} |
|
|
X = 0; |
|
|
px = qn; |
|
|
U = rk_double(state); |
|
|
while (U > px) { |
|
|
X++; |
|
|
if (X > bound) { |
|
|
X = 0; |
|
|
px = qn; |
|
|
U = rk_double(state); |
|
|
} else { |
|
|
U -= px; |
|
|
px = ((n-X+1) * p * px)/(X*q); |
|
|
} |
|
|
} |
|
|
return X; |
|
|
} |
|
|
|
|
|
__device__ long rk_binomial(rk_state *state, int n, double p) { |
|
|
double q; |
|
|
if (p <= 0.5) { |
|
|
if (p*n <= 30.0) { |
|
|
return rk_binomial_inversion(state, n, p); |
|
|
} else { |
|
|
return rk_binomial_btpe(state, n, p); |
|
|
} |
|
|
} else { |
|
|
q = 1.0-p; |
|
|
if (q*n <= 30.0) { |
|
|
return n - rk_binomial_inversion(state, n, q); |
|
|
} else { |
|
|
return n - rk_binomial_btpe(state, n, q); |
|
|
} |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_poisson_mult_definition = ''' |
|
|
__device__ long rk_poisson_mult(rk_state *state, double lam) { |
|
|
long X; |
|
|
double prod, U, enlam; |
|
|
enlam = exp(-lam); |
|
|
X = 0; |
|
|
prod = 1.0; |
|
|
while (1) { |
|
|
U = rk_double(state); |
|
|
prod *= U; |
|
|
if (prod > enlam) { |
|
|
X += 1; |
|
|
} else { |
|
|
return X; |
|
|
} |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_poisson_ptrs_definition = ''' |
|
|
/* |
|
|
* The transformed rejection method for generating Poisson random variables |
|
|
* W. Hoermann |
|
|
* Insurance: Mathematics and Economics 12, 39-45 (1993) |
|
|
*/ |
|
|
#define LS2PI 0.91893853320467267 |
|
|
#define TWELFTH 0.083333333333333333333333 |
|
|
__device__ long rk_poisson_ptrs(rk_state *state, double lam) { |
|
|
long k; |
|
|
double U, V, slam, loglam, a, b, invalpha, vr, us; |
|
|
slam = sqrt(lam); |
|
|
loglam = log(lam); |
|
|
b = 0.931 + 2.53*slam; |
|
|
a = -0.059 + 0.02483*b; |
|
|
invalpha = 1.1239 + 1.1328/(b-3.4); |
|
|
vr = 0.9277 - 3.6224/(b-2); |
|
|
while (1) { |
|
|
U = rk_double(state) - 0.5; |
|
|
V = rk_double(state); |
|
|
us = 0.5 - fabs(U); |
|
|
k = (long)floor((2*a/us + b)*U + lam + 0.43); |
|
|
if ((us >= 0.07) && (V <= vr)) { |
|
|
return k; |
|
|
} |
|
|
if ((k < 0) || |
|
|
((us < 0.013) && (V > us))) { |
|
|
continue; |
|
|
} |
|
|
if ((log(V) + log(invalpha) - log(a/(us*us)+b)) <= |
|
|
(-lam + k*loglam - loggam(k+1))) { |
|
|
return k; |
|
|
} |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_poisson_definition = ''' |
|
|
__device__ long rk_poisson(rk_state *state, double lam) { |
|
|
if (lam >= 10) { |
|
|
return rk_poisson_ptrs(state, lam); |
|
|
} else if (lam == 0) { |
|
|
return 0; |
|
|
} else { |
|
|
return rk_poisson_mult(state, lam); |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_standard_t_definition = ''' |
|
|
__device__ double rk_standard_t(rk_state *state, double df) { |
|
|
return sqrt(df/2)*rk_gauss(state)/sqrt(rk_standard_gamma(state, df/2)); |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_vonmises_definition = ''' |
|
|
__device__ double rk_vonmises(rk_state *state, double mu, double kappa) |
|
|
{ |
|
|
double s; |
|
|
double U, V, W, Y, Z; |
|
|
double result, mod; |
|
|
int neg; |
|
|
|
|
|
if (kappa < 1e-8) |
|
|
{ |
|
|
return M_PI * (2*rk_double(state)-1); |
|
|
} |
|
|
else |
|
|
{ |
|
|
/* with double precision rho is zero until 1.4e-8 */ |
|
|
if (kappa < 1e-5) { |
|
|
/* |
|
|
* second order taylor expansion around kappa = 0 |
|
|
* precise until relatively large kappas as second order is 0 |
|
|
*/ |
|
|
s = (1./kappa + kappa); |
|
|
} |
|
|
else { |
|
|
double r = 1 + sqrt(1 + 4*kappa*kappa); |
|
|
double rho = (r - sqrt(2*r)) / (2*kappa); |
|
|
s = (1 + rho*rho)/(2*rho); |
|
|
} |
|
|
|
|
|
while (1) |
|
|
{ |
|
|
U = rk_double(state); |
|
|
Z = cos(M_PI*U); |
|
|
W = (1 + s*Z)/(s + Z); |
|
|
Y = kappa * (s - W); |
|
|
V = rk_double(state); |
|
|
if ((Y*(2-Y) - V >= 0) || (log(Y/V)+1 - Y >= 0)) |
|
|
{ |
|
|
break; |
|
|
} |
|
|
} |
|
|
|
|
|
U = rk_double(state); |
|
|
|
|
|
result = acos(W); |
|
|
if (U < 0.5) |
|
|
{ |
|
|
result = -result; |
|
|
} |
|
|
result += mu; |
|
|
neg = (result < 0); |
|
|
mod = fabs(result); |
|
|
mod = (fmod(mod+M_PI, 2*M_PI)-M_PI); |
|
|
if (neg) |
|
|
{ |
|
|
mod *= -1; |
|
|
} |
|
|
|
|
|
return mod; |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_zipf_definition = ''' |
|
|
__device__ long rk_zipf(rk_state *state, double a) |
|
|
{ |
|
|
double am1, b; |
|
|
|
|
|
am1 = a - 1.0; |
|
|
b = pow(2.0, am1); |
|
|
while (1) { |
|
|
double T, U, V, X; |
|
|
|
|
|
U = 1.0 - rk_double(state); |
|
|
V = rk_double(state); |
|
|
X = floor(pow(U, -1.0/am1)); |
|
|
|
|
|
if (X < 1.0) { |
|
|
continue; |
|
|
} |
|
|
|
|
|
T = pow(1.0 + 1.0/X, am1); |
|
|
if (V*X*(T - 1.0)/(b - 1.0) <= T/b) { |
|
|
return (long)X; |
|
|
} |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_geometric_definition = ''' |
|
|
__device__ long rk_geometric_search(rk_state *state, double p) { |
|
|
double U; |
|
|
long X; |
|
|
double sum, prod, q; |
|
|
X = 1; |
|
|
sum = prod = p; |
|
|
q = 1.0 - p; |
|
|
U = rk_double(state); |
|
|
while (U > sum) { |
|
|
prod *= q; |
|
|
sum += prod; |
|
|
X++; |
|
|
} |
|
|
return X; |
|
|
} |
|
|
|
|
|
__device__ long rk_geometric_inversion(rk_state *state, double p) { |
|
|
return (long)ceil(log(1.0-rk_double(state))/log(1.0-p)); |
|
|
} |
|
|
|
|
|
__device__ long rk_geometric(rk_state *state, double p) { |
|
|
if (p >= 0.333333333333333333333333) { |
|
|
return rk_geometric_search(state, p); |
|
|
} else { |
|
|
return rk_geometric_inversion(state, p); |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
|
|
|
long_min_max_definition = ''' |
|
|
__device__ long long_min(long a, long b) |
|
|
{ |
|
|
return a < b ? a : b; |
|
|
} |
|
|
|
|
|
__device__ long long_max(long a, long b) |
|
|
{ |
|
|
return a > b ? a : b; |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_hypergeometric_definition = ''' |
|
|
__device__ long rk_hypergeometric_hyp( |
|
|
rk_state *state, long good, long bad, long sample) |
|
|
{ |
|
|
long d1, K, Z; |
|
|
double d2, U, Y; |
|
|
|
|
|
d1 = bad + good - sample; |
|
|
d2 = (double)long_min(bad, good); |
|
|
|
|
|
Y = d2; |
|
|
K = sample; |
|
|
while (Y > 0.0) |
|
|
{ |
|
|
U = rk_double(state); |
|
|
Y -= (long)floor(U + Y/(d1 + K)); |
|
|
K--; |
|
|
if (K == 0) break; |
|
|
} |
|
|
Z = (long)(d2 - Y); |
|
|
if (good > bad) Z = sample - Z; |
|
|
return Z; |
|
|
} |
|
|
|
|
|
/* D1 = 2*sqrt(2/e) */ |
|
|
/* D2 = 3 - 2*sqrt(3/e) */ |
|
|
#define D1 1.7155277699214135 |
|
|
#define D2 0.8989161620588988 |
|
|
__device__ long rk_hypergeometric_hrua( |
|
|
rk_state *state, long good, long bad, long sample) |
|
|
{ |
|
|
long mingoodbad, maxgoodbad, popsize, m, d9; |
|
|
double d4, d5, d6, d7, d8, d10, d11; |
|
|
long Z; |
|
|
double T, W, X, Y; |
|
|
|
|
|
mingoodbad = long_min(good, bad); |
|
|
popsize = good + bad; |
|
|
maxgoodbad = long_max(good, bad); |
|
|
m = long_min(sample, popsize - sample); |
|
|
d4 = ((double)mingoodbad) / popsize; |
|
|
d5 = 1.0 - d4; |
|
|
d6 = m*d4 + 0.5; |
|
|
d7 = sqrt((double)(popsize - m) * sample * d4 * d5 / (popsize - 1) + 0.5); |
|
|
d8 = D1*d7 + D2; |
|
|
d9 = (long)floor((double)(m + 1) * (mingoodbad + 1) / (popsize + 2)); |
|
|
d10 = (loggam(d9+1) + loggam(mingoodbad-d9+1) + loggam(m-d9+1) + |
|
|
loggam(maxgoodbad-m+d9+1)); |
|
|
d11 = min(long_min(m, mingoodbad)+1.0, floor(d6+16*d7)); |
|
|
/* 16 for 16-decimal-digit precision in D1 and D2 */ |
|
|
|
|
|
while (1) |
|
|
{ |
|
|
X = rk_double(state); |
|
|
Y = rk_double(state); |
|
|
W = d6 + d8*(Y- 0.5)/X; |
|
|
|
|
|
/* fast rejection: */ |
|
|
if ((W < 0.0) || (W >= d11)) continue; |
|
|
|
|
|
Z = (long)floor(W); |
|
|
T = d10 - (loggam(Z+1) + loggam(mingoodbad-Z+1) + loggam(m-Z+1) + |
|
|
loggam(maxgoodbad-m+Z+1)); |
|
|
|
|
|
/* fast acceptance: */ |
|
|
if ((X*(4.0-X)-3.0) <= T) break; |
|
|
|
|
|
/* fast rejection: */ |
|
|
if (X*(X-T) >= 1) continue; |
|
|
|
|
|
if (2.0*log(X) <= T) break; /* acceptance */ |
|
|
} |
|
|
|
|
|
/* this is a correction to HRUA* by Ivan Frohne in rv.py */ |
|
|
if (good > bad) Z = m - Z; |
|
|
|
|
|
/* another fix from rv.py to allow sample to exceed popsize/2 */ |
|
|
if (m < sample) Z = good - Z; |
|
|
|
|
|
return Z; |
|
|
} |
|
|
#undef D1 |
|
|
#undef D2 |
|
|
|
|
|
__device__ long rk_hypergeometric( |
|
|
rk_state *state, long good, long bad, long sample) |
|
|
{ |
|
|
if (sample > 10) |
|
|
{ |
|
|
return rk_hypergeometric_hrua(state, good, bad, sample); |
|
|
} else |
|
|
{ |
|
|
return rk_hypergeometric_hyp(state, good, bad, sample); |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_logseries_definition = ''' |
|
|
__device__ long rk_logseries(rk_state *state, double p) |
|
|
{ |
|
|
double q, r, U, V; |
|
|
long result; |
|
|
|
|
|
r = log(1.0 - p); |
|
|
|
|
|
while (1) { |
|
|
V = rk_double(state); |
|
|
if (V >= p) { |
|
|
return 1; |
|
|
} |
|
|
U = rk_double(state); |
|
|
q = 1.0 - exp(r*U); |
|
|
if (V <= q*q) { |
|
|
result = (long)floor(1 + log(V)/log(q)); |
|
|
if (result < 1) { |
|
|
continue; |
|
|
} |
|
|
else { |
|
|
return result; |
|
|
} |
|
|
} |
|
|
if (V >= q) { |
|
|
return 1; |
|
|
} |
|
|
return 2; |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
rk_gauss_definition = ''' |
|
|
__device__ double rk_gauss(rk_state *state) { |
|
|
if (state->has_gauss) { |
|
|
const double tmp = state->gauss; |
|
|
state->gauss = 0; |
|
|
state->has_gauss = 0; |
|
|
return tmp; |
|
|
} else { |
|
|
double f, x1, x2, r2; |
|
|
do { |
|
|
x1 = 2.0*rk_double(state) - 1.0; |
|
|
x2 = 2.0*rk_double(state) - 1.0; |
|
|
r2 = x1*x1 + x2*x2; |
|
|
} |
|
|
while (r2 >= 1.0 || r2 == 0.0); |
|
|
/* Box-Muller transform */ |
|
|
f = sqrt(-2.0*log(r2)/r2); |
|
|
/* Keep for next call */ |
|
|
state->gauss = f*x1; |
|
|
state->has_gauss = 1; |
|
|
return f*x2; |
|
|
} |
|
|
} |
|
|
''' |
|
|
|
|
|
open_uniform_definition = ''' |
|
|
__device__ void open_uniform(rk_state *state, double *U) { |
|
|
do { |
|
|
*U = rk_double(state); |
|
|
} while (*U <= 0.0 || *U >= 1.0); |
|
|
} |
|
|
|
|
|
__device__ void open_uniform(rk_state *state, float *U) { |
|
|
do { |
|
|
*U = rk_double(state); |
|
|
} while (*U <= 0.0 || *U >= 1.0); |
|
|
} |
|
|
''' |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_beta_definition] |
|
|
beta_kernel = _core.ElementwiseKernel( |
|
|
'S a, T b, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_beta(&internal_state, a, b); |
|
|
''', |
|
|
'cupy_beta_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_use_binominal, rk_basic_definition, rk_binomial_definition] |
|
|
binomial_kernel = _core.ElementwiseKernel( |
|
|
'S n, T p, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_binomial(&internal_state, n, p); |
|
|
''', |
|
|
'cupy_binomial_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_standard_t_definition] |
|
|
standard_t_kernel = _core.ElementwiseKernel( |
|
|
'S df, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_standard_t(&internal_state, df); |
|
|
''', |
|
|
'cupy_standard_t_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_chisquare_definition] |
|
|
chisquare_kernel = _core.ElementwiseKernel( |
|
|
'T df, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_chisquare(&internal_state, df); |
|
|
''', |
|
|
'cupy_chisquare_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_chisquare_definition, rk_f_definition] |
|
|
f_kernel = _core.ElementwiseKernel( |
|
|
'S dfnum, T dfden, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_f(&internal_state, dfnum, dfden); |
|
|
''', |
|
|
'cupy_f_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, rk_geometric_definition] |
|
|
geometric_kernel = _core.ElementwiseKernel( |
|
|
'T p, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_geometric(&internal_state, p); |
|
|
''', |
|
|
'cupy_geometric_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, loggam_definition, long_min_max_definition, |
|
|
rk_hypergeometric_definition] |
|
|
hypergeometric_kernel = _core.ElementwiseKernel( |
|
|
'S good, T bad, U sample, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_hypergeometric(&internal_state, good, bad, sample); |
|
|
''', |
|
|
'cupy_hypergeometric_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, rk_logseries_definition] |
|
|
logseries_kernel = _core.ElementwiseKernel( |
|
|
'T p, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_logseries(&internal_state, p); |
|
|
''', |
|
|
'cupy_logseries_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, loggam_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_chisquare_definition, rk_poisson_mult_definition, |
|
|
rk_poisson_ptrs_definition, rk_poisson_definition, |
|
|
rk_noncentral_chisquare_definition] |
|
|
noncentral_chisquare_kernel = _core.ElementwiseKernel( |
|
|
'S df, T nonc, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_noncentral_chisquare(&internal_state, df, nonc); |
|
|
''', |
|
|
'cupy_noncentral_chisquare_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, loggam_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition, |
|
|
rk_chisquare_definition, rk_poisson_mult_definition, |
|
|
rk_poisson_ptrs_definition, rk_poisson_definition, |
|
|
rk_noncentral_chisquare_definition, rk_noncentral_f_definition] |
|
|
noncentral_f_kernel = _core.ElementwiseKernel( |
|
|
'S dfnum, T dfden, U nonc, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_noncentral_f(&internal_state, dfnum, dfden, nonc); |
|
|
''', |
|
|
'cupy_noncentral_f_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = \ |
|
|
[rk_basic_definition, loggam_definition, |
|
|
rk_poisson_mult_definition, rk_poisson_ptrs_definition, |
|
|
rk_poisson_definition] |
|
|
poisson_kernel = _core.ElementwiseKernel( |
|
|
'T lam, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_poisson(&internal_state, lam); |
|
|
''', |
|
|
'cupy_poisson_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, rk_gauss_definition, |
|
|
rk_standard_exponential_definition, rk_standard_gamma_definition] |
|
|
standard_gamma_kernel = _core.ElementwiseKernel( |
|
|
'T shape, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_standard_gamma(&internal_state, shape); |
|
|
''', |
|
|
'cupy_standard_gamma_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, rk_vonmises_definition] |
|
|
vonmises_kernel = _core.ElementwiseKernel( |
|
|
'S mu, T kappa, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_vonmises(&internal_state, mu, kappa); |
|
|
''', |
|
|
'cupy_vonmises_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, rk_zipf_definition] |
|
|
zipf_kernel = _core.ElementwiseKernel( |
|
|
'T a, uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
y = rk_zipf(&internal_state, a); |
|
|
''', |
|
|
'cupy_zipf_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|
|
|
definitions = [ |
|
|
rk_basic_definition, open_uniform_definition] |
|
|
open_uniform_kernel = _core.ElementwiseKernel( |
|
|
'uint64 seed', 'Y y', |
|
|
''' |
|
|
rk_seed(seed + i, &internal_state); |
|
|
open_uniform(&internal_state, &y); |
|
|
''', |
|
|
'cupy_open_uniform_kernel', |
|
|
preamble=''.join(definitions), |
|
|
loop_prep='rk_state internal_state;' |
|
|
) |
|
|
|