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GSLRndmEngines.h
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1 // @(#)root/mathmore:$Id$
2 // Author: L. Moneta, A. Zsenei 08/2005
3 
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24 
25 // Header file for class GSLRandom
26 //
27 // Created by: moneta at Sun Nov 21 16:26:03 2004
28 //
29 // Last update: Sun Nov 21 16:26:03 2004
30 //
31 #ifndef ROOT_Math_GSLRndmEngines
32 #define ROOT_Math_GSLRndmEngines
33 
34 #include <string>
35 #include <vector>
36 
37 
38 namespace ROOT {
39 namespace Math {
40 
41 
42  class GSLRngWrapper;
43  class GSLMCIntegrator;
44 
45  //_________________________________________________________________
46  /**
47  GSLRandomEngine
48  Base class for all GSL random engines,
49  normally user instantiate the derived classes
50  which creates internally the generator.
51 
52  The main GSL generators (see
53  <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">
54  here</A>) are available as derived classes
55  In addition to generate uniform numbers it provides method for
56  generating numbers according to pre-defined distributions
57  using the GSL functions from
58  <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-Number-Distributions.html">
59  GSL random number distributions</A>.
60 
61 
62 
63  @ingroup Random
64  */
66 
67  friend class GSLMCIntegrator;
68 
69  public:
70 
71  /**
72  default constructor. No creation of rng is done.
73  If then Initialize() is called an engine is created
74  based on default GSL type (MT)
75  */
77 
78  /**
79  create from an existing rng.
80  User manage the rng pointer which is then deleted olny by calling Terminate()
81  */
83 
84  /**
85  Copy constructor : clone the contained GSL generator
86  */
87  GSLRandomEngine(const GSLRandomEngine & eng);
88 
89  /**
90  Assignment operator : make a deep copy of the contained GSL generator
91  */
93 
94  /**
95  initialize the generator
96  If no rng is present the default one based on Mersenne and Twister is created
97  */
98  void Initialize();
99 
100  /**
101  delete pointer to contained rng
102  */
103  void Terminate();
104 
105  /**
106  call Terminate()
107  */
108  virtual ~GSLRandomEngine();
109 
110  /**
111  Generate a random number between ]0,1]
112  0 is excluded and 1 is included
113  */
114  double operator() () const;
115 
116  /**
117  Generate a random number between ]0,1]
118  0 is excluded and 1 is included
119  */
120  double Rndm() const { return (*this)(); }
121 
122  /**
123  Generate an integer number between [0,max-1] (including 0 and max-1)
124  if max is larger than available range of algorithm
125  an error message is printed and zero is returned
126  */
127  unsigned long RndmInt(unsigned long max) const;
128  /**
129  Generate an integer number between [0,max_generator-1] (including 0 and max-1)
130  if max is larger than available range of algorithm
131  an error message is printed and zero is returned
132  */
133  unsigned long IntRndm() const {
134  return RndmInt(MaxInt()); // max return the largest value the generator can give +1
135  }
136 
137  /**
138  Generate an array of random numbers.
139  The iterators points to the random numbers
140  */
141  template<class Iterator>
142  void RandomArray(Iterator begin, Iterator end) const {
143  for ( Iterator itr = begin; itr != end; ++itr ) {
144  *itr = this->operator()();
145  }
146  }
147 
148  /**
149  Generate an array of random numbers
150  The iterators points to the random numbers
151  */
152  void RandomArray(double * begin, double * end) const;
153 
154  /**
155  return name of generator
156  */
157  std::string Name() const;
158 
159  /**
160  return the state size of generator
161  */
162  unsigned int Size() const;
163 
164  /**
165  return the minimum integer a generator can handle
166  typically this value is 0
167  */
168  unsigned long MinInt() const;
169 
170  /**
171  return the maximum integer +1 a generator can handle
172 
173  */
174  unsigned long MaxInt() const;
175 
176  /**
177  set the random generator seed
178  */
179  void SetSeed(unsigned int seed) const;
180 
181 
182  /** @name Random Distributions
183  Implemented using the
184  <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-Number-Distributions.html">
185  GSL Random number Distributions</A>
186  **/
187  //@{
188  /**
189  Gaussian distribution - default method is Box-Muller (polar method)
190  */
191  double Gaussian(double sigma) const;
192 
193  /**
194  Gaussian distribution - Ziggurat method
195  */
196  double GaussianZig(double sigma) const;
197 
198  /**
199  Gaussian distribution - Ratio method
200  */
201  double GaussianRatio(double sigma) const;
202  /**
203  Gaussian Tail distribution
204  */
205  double GaussianTail(double a, double sigma) const;
206 
207  /**
208  Bivariate Gaussian distribution with correlation
209  */
210  void Gaussian2D(double sigmaX, double sigmaY, double rho, double &x, double &y) const;
211 
212  /**
213  Exponential distribution
214  */
215  double Exponential(double mu) const;
216 
217  /**
218  Cauchy distribution
219  */
220  double Cauchy(double a) const;
221 
222  /**
223  Landau distribution
224  */
225  double Landau() const;
226 
227  /**
228  Gamma distribution
229  */
230  double Gamma(double a, double b) const;
231 
232  /**
233  Beta distribution
234  */
235  double Beta(double a, double b) const;
236 
237  /**
238  Log Normal distribution
239  */
240  double LogNormal(double zeta, double sigma) const;
241 
242  /**
243  Chi square distribution
244  */
245  double ChiSquare(double nu) const;
246 
247  /**
248  F distrbution
249  */
250  double FDist(double nu1, double nu2) const;
251 
252  /**
253  t student distribution
254  */
255  double tDist(double nu) const;
256 
257  /**
258  Rayleigh distribution
259  */
260  double Rayleigh(double sigma) const;
261 
262  /**
263  Logistic distribution
264  */
265  double Logistic(double a) const;
266 
267  /**
268  Pareto distribution
269  */
270  double Pareto(double a, double b) const;
271 
272  /**
273  generate random numbers in a 2D circle of radious 1
274  */
275  void Dir2D(double &x, double &y) const;
276 
277  /**
278  generate random numbers in a 3D sphere of radious 1
279  */
280  void Dir3D(double &x, double &y, double &z) const;
281 
282  /**
283  Poisson distribution
284  */
285  unsigned int Poisson(double mu) const;
286 
287  /**
288  Binomial distribution
289  */
290  unsigned int Binomial(double p, unsigned int n) const;
291 
292  /**
293  Negative Binomial distribution
294  */
295  unsigned int NegativeBinomial(double p, double n) const;
296 
297  /**
298  Multinomial distribution
299  */
300  std::vector<unsigned int> Multinomial( unsigned int ntot, const std::vector<double> & p ) const;
301 
302  //@}
303 
304 
305 
306  protected:
307 
308  /// internal method used by the derived class to set the type of generators
310  fRng = r;
311  }
312 
313  /// internal method to return the engine
314  /// Used by class like GSLMCIntegrator to set the engine
316  return fRng;
317  }
318 
319  private:
320 
321  GSLRngWrapper * fRng; // pointer to GSL generator wrapper (managed by the class)
322  mutable unsigned int fCurTime; // current time used to seed the generator
323 
324 
325  };
326 
327  //_____________________________________________________________________________________
328  /**
329  Mersenne-Twister generator
330  gsl_rng_mt19937 from
331  <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
332 
333 
334  @ingroup Random
335  */
336  class GSLRngMT : public GSLRandomEngine {
337  public:
339  GSLRngMT();
340  };
341 
342  //_____________________________________________________________________________________
343  /**
344  Old Ranlux generator (James, Luscher) (default luxury level, p = 223)
345  (This is eequivalent to TRandom1 with default luxury level)
346  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
347 
348  @ingroup Random
349  */
350  class GSLRngRanLux : public GSLRandomEngine {
351  public:
353  GSLRngRanLux();
354  };
355 
356  //_____________________________________________________________________________________
357  /**
358  Second generation of Ranlux generator for single precision with luxury level of 1
359  (It throws away 202 values for every 12 used)
360  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
361 
362  @ingroup Random
363  */
365  public:
367  GSLRngRanLuxS1();
368  };
369  typedef GSLRngRanLuxS1 GSLRngRanLux1; // for backward compatibility
370 
371  //_____________________________________________________________________________________
372  /**
373  Second generation of Ranlux generator for Single precision with luxury level of 2
374  (It throws away 397 value for every 12 used)
375  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
376 
377  @ingroup Random
378  */
380  public:
382  GSLRngRanLuxS2();
383  };
384  typedef GSLRngRanLuxS2 GSLRngRanLux2; // for backward compatibility
385 
386  //_____________________________________________________________________________________
387  /**
388  Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 1
389  (It throws away 202 value for every 12 used)
390  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
391 
392  @ingroup Random
393  */
395  public:
397  GSLRngRanLuxD1();
398  };
399 
400  //_____________________________________________________________________________________
401  /**
402  Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 2
403  (It throws away 397 value for every 12 used)
404  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
405 
406  @ingroup Random
407  */
409  public:
411  GSLRngRanLuxD2();
412  };
413  typedef GSLRngRanLuxD2 GSLRngRanLux48; // for backward compatibility
414 
415 
416  //_____________________________________________________________________________________
417  /**
418  Tausworthe generator by L'Ecuyer
419  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
420 
421  @ingroup Random
422  */
423  class GSLRngTaus : public GSLRandomEngine {
424  public:
426  GSLRngTaus();
427  };
428 
429  //_____________________________________________________________________________________
430  /**
431  Lagged Fibonacci generator by Ziff
432  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
433 
434  @ingroup Random
435  */
436  class GSLRngGFSR4 : public GSLRandomEngine {
437  public:
439  GSLRngGFSR4();
440  };
441 
442  //_____________________________________________________________________________________
443  /**
444  Combined multiple recursive generator (L'Ecuyer)
445  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
446 
447  @ingroup Random
448  */
449  class GSLRngCMRG : public GSLRandomEngine {
450  public:
452  GSLRngCMRG();
453  };
454 
455  //_____________________________________________________________________________________
456  /**
457  5-th order multiple recursive generator (L'Ecuyer, Blouin and Coutre)
458  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html">here</A>
459 
460  @ingroup Random
461  */
462  class GSLRngMRG : public GSLRandomEngine {
463  public:
465  GSLRngMRG();
466  };
467 
468  //_____________________________________________________________________________________
469  /**
470  BSD rand() generator
471  gsl_rmg_rand from
472  <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Unix-random-number-generators.html">here</A>
473 
474  @ingroup Random
475  */
476  class GSLRngRand : public GSLRandomEngine {
477  public:
479  GSLRngRand();
480  };
481 
482  //_____________________________________________________________________________________
483  /**
484  RANMAR generator
485  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Unix-random-number-generators.html">here</A>
486 
487  @ingroup Random
488  */
489  class GSLRngRanMar : public GSLRandomEngine {
490  public:
492  GSLRngRanMar();
493  };
494 
495  //_____________________________________________________________________________________
496  /**
497  MINSTD generator (Park and Miller)
498  see <A HREF="http://www.gnu.org/software/gsl/manual/html_node/Unix-random-number-generators.html">here</A>
499 
500  @ingroup Random
501  */
502  class GSLRngMinStd : public GSLRandomEngine {
503  public:
505  GSLRngMinStd();
506  };
507 
508  /** MixMax generator based on ROOT::Math::MixMaxEngine of N=240
509 
510  @ingroup Random
511  */
512  class GSLRngMixMax : public GSLRandomEngine {
513  public:
515  GSLRngMixMax();
516  virtual ~GSLRngMixMax(); // we need a dtcor since is not a standard GSL engine
517  };
518 
519 } // namespace Math
520 } // namespace ROOT
521 
522 // random functions specialization for GSL
523 // needs to be defined after defining GSLRandomEngine class
524 
525 #include "Math/GSLRandomFunctions.h"
526 
527 #endif /* ROOT_Math_GSLRndmEngines */
528 
GSLRandomEngine BaseType
GSLRandomEngine BaseType
Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 1 (I...
double Beta(double a, double b) const
Beta distribution.
double Rayleigh(double sigma) const
Rayleigh distribution.
GSLRandomEngine & operator=(const GSLRandomEngine &eng)
Assignment operator : make a deep copy of the contained GSL generator.
Namespace for new ROOT classes and functions.
Definition: StringConv.hxx:21
double Gamma(double a, double b) const
Gamma distribution.
double Logistic(double a) const
Logistic distribution.
void SetType(GSLRngWrapper *r)
internal method used by the derived class to set the type of generators
Lagged Fibonacci generator by Ziff see here
GSLRandomEngine BaseType
double tDist(double nu) const
t student distribution
MINSTD generator (Park and Miller) see here
void RandomArray(Iterator begin, Iterator end) const
Generate an array of random numbers.
Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 2 (I...
GSLRandomEngine BaseType
double Rndm() const
Generate a random number between ]0,1] 0 is excluded and 1 is included.
double FDist(double nu1, double nu2) const
F distrbution.
unsigned int Poisson(double mu) const
Poisson distribution.
double Pareto(double a, double b) const
Pareto distribution.
Mersenne-Twister generator gsl_rng_mt19937 from here
Double_t x[n]
Definition: legend1.C:17
unsigned int NegativeBinomial(double p, double n) const
Negative Binomial distribution.
void Dir3D(double &x, double &y, double &z) const
generate random numbers in a 3D sphere of radious 1
void Terminate()
delete pointer to contained rng
double ChiSquare(double nu) const
Chi square distribution.
GSLRandomEngine Base class for all GSL random engines, normally user instantiate the derived classes ...
GSLRandomEngine BaseType
GSLRngWrapper class to wrap gsl_rng structure.
Definition: GSLRngWrapper.h:25
unsigned int Size() const
return the state size of generator
GSLRngRanLuxD2 GSLRngRanLux48
double GaussianZig(double sigma) const
Gaussian distribution - Ziggurat method.
const Double_t sigma
double Landau() const
Landau distribution.
GSLRngRanLuxS2 GSLRngRanLux2
double Exponential(double mu) const
Exponential distribution.
std::vector< unsigned int > Multinomial(unsigned int ntot, const std::vector< double > &p) const
Multinomial distribution.
unsigned long MinInt() const
return the minimum integer a generator can handle typically this value is 0
Second generation of Ranlux generator for single precision with luxury level of 1 (It throws away 202...
virtual ~GSLRandomEngine()
call Terminate()
ROOT::R::TRInterface & r
Definition: Object.C:4
auto * a
Definition: textangle.C:12
RANMAR generator see here
double LogNormal(double zeta, double sigma) const
Log Normal distribution.
unsigned long RndmInt(unsigned long max) const
Generate an integer number between [0,max-1] (including 0 and max-1) if max is larger than available ...
Old Ranlux generator (James, Luscher) (default luxury level, p = 223) (This is eequivalent to TRandom...
GSLRngWrapper * Engine()
internal method to return the engine Used by class like GSLMCIntegrator to set the engine ...
MixMax generator based on ROOT::Math::MixMaxEngine of N=240.
void Gaussian2D(double sigmaX, double sigmaY, double rho, double &x, double &y) const
Bivariate Gaussian distribution with correlation.
5-th order multiple recursive generator (L&#39;Ecuyer, Blouin and Coutre) see here
unsigned int Binomial(double p, unsigned int n) const
Binomial distribution.
double GaussianTail(double a, double sigma) const
Gaussian Tail distribution.
GSLRandomEngine BaseType
GSLRandomEngine BaseType
double operator()() const
Generate a random number between ]0,1] 0 is excluded and 1 is included.
Second generation of Ranlux generator for Single precision with luxury level of 2 (It throws away 397...
Combined multiple recursive generator (L&#39;Ecuyer) see here
GSLRandomEngine BaseType
void SetSeed(unsigned int seed) const
set the random generator seed
Double_t y[n]
Definition: legend1.C:17
unsigned long IntRndm() const
Generate an integer number between [0,max_generator-1] (including 0 and max-1) if max is larger than ...
Namespace for new Math classes and functions.
you should not use this method at all Int_t Int_t z
Definition: TRolke.cxx:630
GSLRandomEngine BaseType
std::string Name() const
return name of generator
double Cauchy(double a) const
Cauchy distribution.
unsigned long MaxInt() const
return the maximum integer +1 a generator can handle
double GaussianRatio(double sigma) const
Gaussian distribution - Ratio method.
GSLRngRanLuxS1 GSLRngRanLux1
GSLRandomEngine BaseType
you should not use this method at all Int_t Int_t Double_t Double_t Double_t Int_t Double_t Double_t Double_t Double_t b
Definition: TRolke.cxx:630
Tausworthe generator by L&#39;Ecuyer see here
void Initialize()
initialize the generator If no rng is present the default one based on Mersenne and Twister is create...
double Gaussian(double sigma) const
Gaussian distribution - default method is Box-Muller (polar method)
const Int_t n
Definition: legend1.C:16
BSD rand() generator gsl_rmg_rand from here
GSLRandomEngine()
default constructor.
void Dir2D(double &x, double &y) const
generate random numbers in a 2D circle of radious 1