GSLRndmEngines.cxx

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// @(#)root/mathmore:$Id$
// Authors: L. Moneta, A. Zsenei   08/2005
 
 /**********************************************************************
  *                                                                    *
  * Copyright (c) 2004 ROOT Foundation,  CERN/PH-SFT                   *
  *                                                                    *
  * This library is free software; you can redistribute it and/or      *
  * modify it under the terms of the GNU General Public License        *
  * as published by the Free Software Foundation; either version 2     *
  * of the License, or (at your option) any later version.             *
  *                                                                    *
  * This library 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.                           *
  *                                                                    *
  * You should have received a copy of the GNU General Public License  *
  * along with this library (see file COPYING); if not, write          *
  * to the Free Software Foundation, Inc., 59 Temple Place, Suite      *
  * 330, Boston, MA 02111-1307 USA, or contact the author.             *
  *                                                                    *
  **********************************************************************/
 
// Header file for class GSLRandom
//
// Created by: moneta  at Sun Nov 21 16:26:03 2004
//
// Last update: Sun Nov 21 16:26:03 2004
//
 
 
 
// need to be included later
#include <ctime>
#include <cassert>
 
#include "gsl/gsl_linalg.h"
#include "gsl/gsl_matrix.h"
#include "gsl/gsl_rng.h"
#include "gsl/gsl_randist.h"
#include "gsl/gsl_vector.h"
#include "gsl/gsl_version.h"
 
#include "Math/GSLRndmEngines.h"
#include "GSLRngWrapper.h"
// for wrapping in GSL ROOT engines
#include "GSLRngROOTWrapper.h"
 
extern double gsl_ran_gaussian_acr(  const gsl_rng * r, const double sigma);
 
// gsl_multivarate_gaussian was added in GSL 2.2
// For older GSL versions (e.g. Ubuntu 16.04 comes with GSL 2.1) we can add it here by hand
// from: http://git.savannah.gnu.org/cgit/gsl.git/tree/randist/mvgauss.c?h=release-2-6&id=8f0165f5cb2ae02e386cd33ff10e47ffb46ea7da
#if (GSL_MAJOR_VERSION == 1) || ((GSL_MAJOR_VERSION == 2) && (GSL_MINOR_VERSION < 2))
#include <gsl/gsl_blas.h>
extern int
gsl_ran_multivariate_gaussian(const gsl_rng *r, const gsl_vector *mu, const gsl_matrix *L, gsl_vector *result)
{
   const size_t M = L->size1;
   const size_t N = L->size2;
 
   if (M != N) {
      GSL_ERROR("requires square matrix", GSL_ENOTSQR);
   } else if (mu->size != M) {
      GSL_ERROR("incompatible dimension of mean vector with variance-covariance matrix", GSL_EBADLEN);
   } else if (result->size != M) {
      GSL_ERROR("incompatible dimension of result vector", GSL_EBADLEN);
   } else {
      size_t i;
 
      for (i = 0; i < M; ++i)
         gsl_vector_set(result, i, gsl_ran_ugaussian(r));
 
      gsl_blas_dtrmv(CblasLower, CblasNoTrans, CblasNonUnit, L, result);
      gsl_vector_add(result, mu);
 
      return GSL_SUCCESS;
   }
}
#endif
 
namespace ROOT {
namespace Math {
 
 
  // default constructor (need to call set type later)
   GSLRandomEngine::GSLRandomEngine() :
      fRng(nullptr),
      fCurTime(0)
  { }
 
   // constructor from external rng
   // internal generator will be managed or not depending on
   // how the GSLRngWrapper is created
   GSLRandomEngine::GSLRandomEngine( GSLRngWrapper * rng) :
      fRng(new GSLRngWrapper(*rng) ),
      fCurTime(0)
   {}
 
   // copy constructor
   GSLRandomEngine::GSLRandomEngine(const GSLRandomEngine & eng) :
      fRng(new GSLRngWrapper(*eng.fRng) ),
      fCurTime(0)
   {}
 
   GSLRandomEngine::~GSLRandomEngine() {
      // destructor : call terminate if not yet called
      if (fRng) Terminate();
   }
 
   // assignment operator
   GSLRandomEngine & GSLRandomEngine::operator=(const GSLRandomEngine & eng) {
      if (this == &eng) return *this;
      if (fRng)
         *fRng = *eng.fRng;
      else
         fRng = new GSLRngWrapper(*eng.fRng);
      fCurTime = eng.fCurTime;
      return *this;
   }
 
 
   void GSLRandomEngine::Initialize() {
      // initialize the generator by allocating the GSL object
      // if type was not passed create with default generator
      if (!fRng) fRng = new GSLRngWrapper();
      fRng->Allocate();
   }
 
   void GSLRandomEngine::Terminate() {
      // terminate the generator by freeing the GSL object
      if (!fRng) return;
      fRng->Free();
      delete fRng;
      fRng = nullptr;
   }
 
 
   double GSLRandomEngine::operator() () const {
      // generate random between 0 and 1.
      // 0 is excluded
      return gsl_rng_uniform_pos(fRng->Rng() );
   }
 
 
   unsigned long GSLRandomEngine::RndmInt(unsigned long max) const {
      // generate a random integer number between 0  and MAX
      return gsl_rng_uniform_int( fRng->Rng(), max );
   }
 
   unsigned long GSLRandomEngine::MinInt() const {
      // return minimum integer value used in RndmInt
      return gsl_rng_min( fRng->Rng() );
   }
 
   unsigned long GSLRandomEngine::MaxInt() const {
      // return maximum integr value used in RndmInt
      return gsl_rng_max( fRng->Rng() );
   }
 
   void GSLRandomEngine::RandomArray(double * begin, double * end )  const {
      // generate array of randoms between 0 and 1. 0 is excluded
      // specialization for double * (to be faster)
      for ( double * itr = begin; itr != end; ++itr ) {
         *itr = gsl_rng_uniform_pos(fRng->Rng() );
      }
   }
 
   void GSLRandomEngine::SetSeed(unsigned int seed) const  {
      // set the seed, if = 0then the seed is set randomly using an std::rand()
      // seeded with the current time. Be carefuk in case the current time is
      // the same in consecutive calls
      if (seed == 0) {
         // use like in root (use time)
         time_t curtime;
         time(&curtime);
         unsigned int ct = static_cast<unsigned int>(curtime);
         if (ct != fCurTime) {
            fCurTime = ct;
            // set the seed for rand
            srand(ct);
         }
         seed = rand();
      }
 
      assert(fRng);
      gsl_rng_set(fRng->Rng(), seed );
   }
 
   std::string GSLRandomEngine::Name() const {
      //////////////////////////////////////////////////////////////////////////
 
      assert ( fRng != nullptr);
      assert ( fRng->Rng() != nullptr );
      return std::string( gsl_rng_name( fRng->Rng() ) );
   }
 
   unsigned int GSLRandomEngine::Size() const {
      //////////////////////////////////////////////////////////////////////////
 
      assert (fRng != nullptr);
      return gsl_rng_size( fRng->Rng() );
   }
 
 
   // Random distributions
 
   double GSLRandomEngine::GaussianZig(double sigma)  const
   {
      // Gaussian distribution. Use fast ziggurat algorithm implemented since GSL 1.8
      return gsl_ran_gaussian_ziggurat(  fRng->Rng(), sigma);
   }
 
   double GSLRandomEngine::Gaussian(double sigma)  const
   {
      // Gaussian distribution. Use default Box-Muller method
      return gsl_ran_gaussian(  fRng->Rng(), sigma);
   }
 
   double GSLRandomEngine::GaussianRatio(double sigma)  const
   {
      // Gaussian distribution. Use ratio method
      return gsl_ran_gaussian_ratio_method(  fRng->Rng(), sigma);
   }
 
 
   double GSLRandomEngine::GaussianTail(double a , double sigma) const
   {
      // Gaussian Tail distribution: eeturn values larger than a distributed
      // according to the gaussian
      return gsl_ran_gaussian_tail(  fRng->Rng(), a, sigma);
   }
 
   void GSLRandomEngine::Gaussian2D(double sigmaX, double sigmaY, double rho, double &x, double &y) const
   {
      // Gaussian Bivariate distribution, with correlation coefficient rho
      gsl_ran_bivariate_gaussian(  fRng->Rng(), sigmaX, sigmaY, rho, &x, &y);
   }
 
   void GSLRandomEngine::GaussianND(size_t dim, const double *pars, const double *covmat, double *genpars, double * ldec) const
   {
      // Gaussian Multivariate distribution
      // assume passed arrays are of correct dimensions
      // use gsl_matrix_view to avoid copying the data and allocate the arrays
      // covmat will return
 
      bool allocateL = false;
      if (!ldec) {
         ldec = new double[dim*dim];
         allocateL = true;
      }
 
      gsl_matrix_view L = gsl_matrix_view_array(ldec, dim, dim);
      gsl_vector_const_view mu = gsl_vector_const_view_array(pars, dim);
      gsl_vector_view x =  gsl_vector_view_array(genpars, dim);
 
      if (covmat) {
         gsl_matrix_const_view A = gsl_matrix_const_view_array(covmat, dim, dim);
         gsl_matrix_memcpy(&L.matrix, &A.matrix);
#if ((GSL_MAJOR_VERSION >= 2) && (GSL_MINOR_VERSION > 2))
         gsl_linalg_cholesky_decomp1(&L.matrix);
#else
         gsl_linalg_cholesky_decomp(&L.matrix);
#endif
      }
      // if covMat is not provide we use directly L
      gsl_ran_multivariate_gaussian(fRng->Rng(), &mu.vector, &L.matrix, &x.vector);
      if (allocateL) {
         delete [] ldec;
         ldec = nullptr;
      }
   }
 
   double GSLRandomEngine::Exponential(double mu)  const
   {
      // Exponential distribution
      return gsl_ran_exponential(  fRng->Rng(), mu);
   }
 
   double GSLRandomEngine::Cauchy(double a) const
   {
      // Cauchy distribution
      return gsl_ran_cauchy(  fRng->Rng(), a);
   }
 
   double GSLRandomEngine::Landau() const
   {
      // Landau distribution
      return gsl_ran_landau(  fRng->Rng());
   }
 
   double GSLRandomEngine::Beta(double a, double b) const
   {
      // Beta distribution
      return gsl_ran_beta(  fRng->Rng(), a, b);
   }
 
   double GSLRandomEngine::Gamma(double a, double b) const
   {
      // Gamma distribution
      return gsl_ran_gamma(  fRng->Rng(), a, b);
   }
 
   double GSLRandomEngine::LogNormal(double zeta, double sigma) const
   {
      // Log normal distribution
      return gsl_ran_lognormal(  fRng->Rng(), zeta, sigma);
   }
 
   double GSLRandomEngine::ChiSquare(double nu) const
   {
      // Chi square distribution
      return gsl_ran_chisq(  fRng->Rng(), nu);
   }
 
 
   double GSLRandomEngine::FDist(double nu1, double nu2)  const
   {
      // F distribution
      return gsl_ran_fdist(  fRng->Rng(), nu1, nu2);
   }
 
   double GSLRandomEngine::tDist(double nu)  const
   {
      // t distribution
      return gsl_ran_tdist(  fRng->Rng(), nu);
   }
 
   double GSLRandomEngine::Rayleigh(double sigma)  const
   {
      // Rayleigh distribution
      return gsl_ran_rayleigh(  fRng->Rng(), sigma);
   }
 
   double GSLRandomEngine::Logistic(double a)  const
   {
      // Logistic distribution
      return gsl_ran_logistic(  fRng->Rng(), a);
   }
 
   double GSLRandomEngine::Pareto(double a, double b)  const
   {
      // Pareto distribution
      return gsl_ran_pareto(  fRng->Rng(), a, b);
   }
 
   void GSLRandomEngine::Dir2D(double &x, double &y) const
   {
      // generate random numbers in a 2D circle of radious 1
      gsl_ran_dir_2d(  fRng->Rng(), &x, &y);
   }
 
   void GSLRandomEngine::Dir3D(double &x, double &y, double &z) const
   {
      // generate random numbers in a 3D sphere of radious 1
      gsl_ran_dir_3d(  fRng->Rng(), &x, &y, &z);
   }
 
   unsigned int GSLRandomEngine::Poisson(double mu) const
   {
      // Poisson distribution
      return gsl_ran_poisson(  fRng->Rng(), mu);
   }
 
   unsigned int GSLRandomEngine::Binomial(double p, unsigned int n) const
   {
      // Binomial distribution
      return gsl_ran_binomial(  fRng->Rng(), p, n);
   }
 
   unsigned int GSLRandomEngine::NegativeBinomial(double p, double n) const
   {
      // Negative Binomial distribution
      return gsl_ran_negative_binomial(  fRng->Rng(), p, n);
   }
 
 
   std::vector<unsigned int>  GSLRandomEngine::Multinomial( unsigned int ntot, const std::vector<double> & p ) const
   {
      // Multinomial distribution  return vector of integers which sum is ntot
      std::vector<unsigned int> ival( p.size());
      gsl_ran_multinomial(  fRng->Rng(), p.size(), ntot, &p.front(), &ival[0]);
      return ival;
   }
 
 
 
   //----------------------------------------------------
   // generators
   //----------------------------------------------------
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngMT::GSLRngMT()
   {
      SetType(new GSLRngWrapper(gsl_rng_mt19937));
      Initialize();
   }
 
 
   // old ranlux - equivalent to TRandom1
   GSLRngRanLux::GSLRngRanLux()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranlux) );
      Initialize();
   }
 
   // second generation of Ranlux (single precision version - luxury 1)
   GSLRngRanLuxS1::GSLRngRanLuxS1()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranlxs1) );
      Initialize();
   }
 
   // second generation of Ranlux (single precision version - luxury 2)
   GSLRngRanLuxS2::GSLRngRanLuxS2()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranlxs2) );
      Initialize();
   }
 
   // double precision  version - luxury 1
   GSLRngRanLuxD1::GSLRngRanLuxD1()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranlxd1) );
      Initialize();
   }
 
   // double precision  version - luxury 2
   GSLRngRanLuxD2::GSLRngRanLuxD2()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranlxd2) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngTaus::GSLRngTaus()
   {
      SetType(new GSLRngWrapper(gsl_rng_taus2) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngGFSR4::GSLRngGFSR4()
   {
      SetType(new GSLRngWrapper(gsl_rng_gfsr4) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngCMRG::GSLRngCMRG()
   {
      SetType(new GSLRngWrapper(gsl_rng_cmrg) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngMRG::GSLRngMRG()
   {
      SetType(new GSLRngWrapper(gsl_rng_mrg) );
      Initialize();
   }
 
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngRand::GSLRngRand()
   {
      SetType(new GSLRngWrapper(gsl_rng_rand) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngRanMar::GSLRngRanMar()
   {
      SetType(new GSLRngWrapper(gsl_rng_ranmar) );
      Initialize();
   }
 
   /////////////////////////////////////////////////////////////////////////////
 
   GSLRngMinStd::GSLRngMinStd()
   {
      SetType(new GSLRngWrapper(gsl_rng_minstd) );
      Initialize();
   }
 
 
   // for extra engines based on ROOT
   GSLRngMixMax::GSLRngMixMax()
   {
      SetType(new GSLRngWrapper(gsl_rng_mixmax) );
      Initialize(); // this creates the gsl_rng structure
      //  no real need to call CreateEngine since the underlined MIXMAX engine is created
      // by calling GSLMixMaxWrapper::Seed(gsl_default_seed) that is called
      // when gsl_rng is allocated (in Initialize)
      GSLMixMaxWrapper::CreateEngine(Engine()->Rng());
   }
   GSLRngMixMax::~GSLRngMixMax() {
      // we need to explicitly delete the ROOT wrapper class
      GSLMixMaxWrapper::FreeEngine(Engine()->Rng());
   }
 
} // namespace Math
} // namespace ROOT