umontreal.iro.lecuyer.randvar.StudentPolarGen Maven / Gradle / Ivy
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/*
* Class: StudentPolarGen
* Description: Student-t random variate generators using the polar method
* Environment: Java
* Software: SSJ
* Copyright (C) 2001 Pierre L'Ecuyer and Université de Montréal
* Organization: DIRO, Université de Montréal
* @author
* @since
* SSJ is free software: you can redistribute it and/or modify it under
* the terms of the GNU General Public License (GPL) as published by the
* Free Software Foundation, either version 3 of the License, or
* any later version.
* SSJ is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
* A copy of the GNU General Public License is available at
GPL licence site.
*/
package umontreal.iro.lecuyer.randvar;
import umontreal.iro.lecuyer.rng.*;
import umontreal.iro.lecuyer.probdist.*;
/**
* This class implements Student random variate generators using
* the polar method of.
* The code is adapted from UNURAN.
*
*
* The non-static nextDouble method generates two variates at a time
* and the second one is saved for the next call.
* A pair of variates is generated every second call.
* In the static case, two variates are generated per
* call but only the first one is returned and the second is discarded.
*
*/
public class StudentPolarGen extends StudentGen {
private boolean available = false;
private double[] variates = new double[2];
private static double[] staticVariates = new double[2];
// Used by the polar method.
/**
* Creates a Student random variate generator with n
* degrees of freedom, using stream s.
*
*/
public StudentPolarGen (RandomStream s, int n) {
super (s, null);
setN (n);
}
/**
* Creates a new generator for the Student distribution dist
* and stream s.
*
*/
public StudentPolarGen (RandomStream s, StudentDist dist) {
super (s, dist);
if (dist != null)
setN (dist.getN ());
}
public double nextDouble() {
if (available) {
available = false;
return variates[1];
}
else {
polar (stream, n, variates);
available = true;
return variates[0];
}
}
public static double nextDouble (RandomStream s, int n) {
polar (s, n, staticVariates);
return staticVariates[0];
}
/**
* Generates a new variate from the Student distribution
* with n = n degrees of freedom, using stream s.
*
*/
//>>>>>>>>>>>>>>>>>>>> P R I V A T E S M E T H O D S <<<<<<<<<<<<<<<<<<<<
/* ****************************************************************************
* *
* Student's t Distribution: Polar Method *
* *
*****************************************************************************
* *
* FUNCTION: - samples a random number from Student's t distribution with *
* parameters n > 0. *
* *
* REFERENCE: - R.W. Bailey (1994): Polar generation of random variates *
* with the t-distribution, *
* Mathematics of Computation 62, 779-781. *
* *
* Implemented by F. Niederl, 1994 *
*****************************************************************************
* *
* The polar method of Box/Muller for generating Normal variates is adapted *
* to the Student-t distribution. The two generated variates are not *
* independent and the expected no. of uniforms per variate is 2.5464. *
* *
*****************************************************************************
* WinRand (c) 1995 Ernst Stadlober, Institut fuer Statistitk, TU Graz *
*****************************************************************************
* UNURAN (c) 2000 W. Hoermann & J. Leydold, Institut f. Statistik, WU Wien *
****************************************************************************/
private static void polar (RandomStream stream, int n, double[] variates) {
double u,v,w;
do {
u = 2. * stream.nextDouble() - 1.;
v = 2. * stream.nextDouble() - 1.;
w = u*u + v*v;
} while (w > 1.);
double temp = Math.sqrt (n*(Math.exp (-2./n*Math.log (w)) - 1.)/w);
variates[0] = u*temp;
variates[1] = v*temp;
}
}