unuranDemo.C File Reference

Detailed Description

Example macro to show unuran capabilities The results are compared with what is obtained using TRandom or TF1::GetRandom The macro is divided in 3 parts:

• testStringAPI : show how to use string API of UNURAN to generate Gaussian random numbers
• testDistr1D : show how to pass a 1D distribution object to UNURAN to generate numbers according to the given distribution object
• testDistrMultiDIm : show how to pass a multidimensional distribution object to UNURAN

To execute the macro type in:

root[0]: gSystem->Load("libMathCore");
root[0]: gSystem->Load("libUnuran");
root[0]: .x  unuranDemo.C+

 
 
#include "TStopwatch.h"
 
#include "TUnuran.h"
#include "TUnuranContDist.h"
#include "TUnuranMultiContDist.h"
#include "TUnuranDiscrDist.h"
#include "TUnuranEmpDist.h"
 
#include "TH1.h"
#include "TH3.h"
#include "TF3.h"
#include "TMath.h"
 
#include "TRandom2.h"
#include "TSystem.h"
#include "TStyle.h"
 
#include "TApplication.h"
#include "TCanvas.h"
 
#include "Math/ProbFunc.h"
#include "Math/DistFunc.h"
 
#include <iostream>
#include <cassert>
 
using std::cout;
using std::endl;
 
// number of distribution generated points
#define NGEN 100000
 
int izone = 0;
TCanvas * c1 = nullptr;
 
// test using UNURAN string interface
void testStringAPI() {
 
   TH1D * h1 = new TH1D("h1G","gaussian distribution from Unuran",100,-10,10);
   TH1D * h2 = new TH1D("h2G","gaussian distribution from TRandom",100,-10,10);
 
   cout << "\nTest using UNURAN string API \n\n";
 
 
   TUnuran unr;
   if (! unr.Init( "normal()", "method=arou") ) {
      cout << "Error initializing unuran" << endl;
      return;
   }
 
   int n = NGEN;
   TStopwatch w;
   w.Start();
 
   for (int i = 0; i < n; ++i) {
       double x = unr.Sample();
       h1->Fill(  x );
   }
 
   w.Stop();
   cout << "Time using Unuran method " << unr.MethodName() << "\t=\t " << w.CpuTime() << endl;
 
 
   // use TRandom::Gaus
   w.Start();
   for (int i = 0; i < n; ++i) {
      double x = gRandom->Gaus(0,1);
       h2->Fill(  x );
   }
 
   w.Stop();
   cout << "Time using TRandom::Gaus  \t=\t " << w.CpuTime() << endl;
 
   assert(c1 != nullptr);
   c1->cd(++izone);
   h1->Draw();
   c1->cd(++izone);
   h2->Draw();
 
}
 
 
 
double distr(double *x, double *p) {
   return ROOT::Math::breitwigner_pdf(x[0],p[0],p[1]);
}
 
double cdf(double *x, double *p) {
   return ROOT::Math::breitwigner_cdf(x[0],p[0],p[1]);
}
 
// test of unuran passing as input a distribution object( a BreitWigner) distribution
void testDistr1D() {
 
   cout << "\nTest 1D Continous distributions\n\n";
 
   TH1D * h1 = new TH1D("h1BW","Breit-Wigner distribution from Unuran",100,-10,10);
   TH1D * h2 = new TH1D("h2BW","Breit-Wigner distribution from GetRandom",100,-10,10);
 
 
 
   TF1 * f = new TF1("distrFunc",distr,-10,10,2);
   double par[2] = {1,0};  // values are gamma and mean
   f->SetParameters(par);
 
   TF1 * fc = new TF1("cdfFunc",cdf,-10,10,2);
   fc->SetParameters(par);
 
   // create Unuran 1D distribution object
   TUnuranContDist dist(f);
   // to use a different random number engine do:
   TRandom2 * random = new TRandom2();
   int logLevel = 2;
   TUnuran unr(random,logLevel);
 
   // select unuran method for generating the random numbers
   std::string method = "tdr";
   //std::string method = "method=auto";
   // "method=hinv"
   // set the cdf for some methods like hinv that requires it
   // dist.SetCdf(fc);
 
   //cout << "unuran method is " << method << endl;
 
   if (!unr.Init(dist,method) ) {
      cout << "Error initializing unuran" << endl;
      return;
   }
 
 
 
   TStopwatch w;
   w.Start();
 
   int n = NGEN;
   for (int i = 0; i < n; ++i) {
      double x = unr.Sample();
      h1->Fill(  x );
   }
 
   w.Stop();
   cout << "Time using Unuran method " << unr.MethodName() << "\t=\t " << w.CpuTime() << endl;
 
   w.Start();
   for (int i = 0; i < n; ++i) {
      double x = f->GetRandom();
      h2->Fill(  x );
   }
 
   w.Stop();
   cout << "Time using TF1::GetRandom()  \t=\t " << w.CpuTime() << endl;
 
   c1->cd(++izone);
   h1->Draw();
 
   c1->cd(++izone);
   h2->Draw();
 
   std::cout << " chi2 test of UNURAN vs GetRandom generated histograms:  " << std::endl;
   h1->Chi2Test(h2,"UUP");
 
}
 
// 3D gaussian distribution
double gaus3d(double *x, double *p) {
 
   double sigma_x = p[0];
   double sigma_y = p[1];
   double sigma_z = p[2];
   double rho = p[2];
   double u = x[0] / sigma_x ;
   double v = x[1] / sigma_y ;
   double w = x[2] / sigma_z ;
   double c = 1 - rho*rho ;
   double result = (1 / (2 * TMath::Pi() * sigma_x * sigma_y * sigma_z * sqrt(c)))
      * exp (-(u * u - 2 * rho * u * v + v * v + w*w) / (2 * c));
   return result;
}
 
// test of unuran passing as input a multi-dimension distribution object
void testDistrMultiDim() {
 
   cout << "\nTest Multidimensional distributions\n\n";
 
   TH3D * h1 = new TH3D("h13D","gaussian 3D distribution from Unuran (vnrou)",50,-10,10,50,-10,10,50,-10,10);
   TH3D * h2 = new TH3D("h23D","gaussian 3D distribution from Unuran (hitro)",50,-10,10,50,-10,10,50,-10,10);
   TH3D * h3 = new TH3D("h33D","gaussian 3D distribution from GetRandom",50,-10,10,50,-10,10,50,-10,10);
 
 
 
   TF3 * f = new TF3("g3d",gaus3d,-10,10,-10,10,-10,10,3);
   double par[3] = {2,2,0.5};
   f->SetParameters(par);
 
 
 
   TUnuranMultiContDist dist(f);
   TUnuran unr(gRandom);
 
   //std::string method = "method=hitro;use_boundingrectangle=false ";
   std::string method = "vnrou";
   if ( !  unr.Init(dist,method) ) {
      cout << "Error initializing unuran" << endl;
      return;
   }
 
   TStopwatch w;
   w.Start();
 
   double x[3];
   for (int i = 0; i < NGEN; ++i) {
      unr.SampleMulti(x);
      h1->Fill(x[0],x[1],x[2]);
   }
 
   w.Stop();
   cout << "Time using Unuran method " << unr.MethodName() << "\t=\t\t " << w.CpuTime() << endl;
 
   assert(c1 != nullptr);
   c1->cd(++izone);
   h1->Draw();
 
 
   // use a different UNURAN method
 
   method = "hitro";
   if ( !  unr.Init(dist,method) ) {
      cout << "Error re-initializing unuran" << endl;
      return;
   }
 
   w.Start();
 
   for (int i = 0; i < NGEN; ++i) {
      unr.SampleMulti(x);
      h2->Fill(x[0],x[1],x[2]);
   }
 
   w.Stop();
   cout << "Time using Unuran method " << unr.MethodName() << "\t=\t\t " << w.CpuTime() << endl;
 
 
   // need to set a reasonable number of points in TF1 to get acceptable quality from GetRandom to
   int np = 100;
   f->SetNpx(np);
   f->SetNpy(np);
   f->SetNpz(np);
 
   w.Start();
   for (int i = 0; i < NGEN; ++i) {
      f->GetRandom3(x[0],x[1],x[2]);
      h3->Fill(x[0],x[1],x[2]);
   }
 
   w.Stop();
   cout << "Time using TF1::GetRandom  \t\t=\t " << w.CpuTime() << endl;
 
 
   c1->cd(++izone);
   h3->Draw();
 
   std::cout << " chi2 test of UNURAN vnrou vs GetRandom generated histograms:  " << std::endl;
   h1->Chi2Test(h3,"UUP");
   std::cout << " chi2 test of UNURAN hitro vs GetRandom generated histograms:  " << std::endl;
   h2->Chi2Test(h3,"UUP");
 
}
//_____________________________________________
//
// example of discrete distributions
 
double poisson(double * x, double * p) {
   return ROOT::Math::poisson_pdf(int(x[0]),p[0]);
}
 
void testDiscDistr() {
 
   cout << "\nTest Discrete distributions\n\n";
 
   TH1D * h1 = new TH1D("h1PS","Unuran Poisson prob",20,0,20);
   TH1D * h2 = new TH1D("h2PS","Poisson dist from TRandom",20,0,20);
 
   double mu = 5;
 
   TF1 * f = new TF1("fps",poisson,1,0,1);
   f->SetParameter(0,mu);
 
   TUnuranDiscrDist dist2 = TUnuranDiscrDist(f);
   TUnuran unr;
 
   // dari method (needs also the mode and pmf sum)
   dist2.SetMode(int(mu) );
   dist2.SetProbSum(1.0);
   bool ret = unr.Init(dist2,"dari");
   if (!ret) return;
 
   TStopwatch w;
   w.Start();
 
   int n = NGEN;
   for (int i = 0; i < n; ++i) {
      int k = unr.SampleDiscr();
      h1->Fill( double(k) );
   }
 
   w.Stop();
   cout << "Time using Unuran method " << unr.MethodName() << "\t=\t\t " << w.CpuTime() << endl;
 
   w.Start();
   for (int i = 0; i < n; ++i) {
      h2->Fill(  gRandom->Poisson(mu) );
   }
   cout << "Time using TRandom::Poisson " << "\t=\t\t " << w.CpuTime() << endl;
 
   c1->cd(++izone);
   h1->SetMarkerStyle(20);
   h1->Draw("E");
   h2->Draw("same");
 
   std::cout << " chi2 test of UNURAN vs TRandom generated histograms:  " << std::endl;
   h1->Chi2Test(h2,"UUP");
 
}
 
//_____________________________________________
//
// example of empirical distributions
 
void testEmpDistr() {
 
 
   cout << "\nTest Empirical distributions using smoothing\n\n";
 
   // start with a set of data
   // for example 1000 two-gaussian data
   const int Ndata = 1000;
   double x[Ndata];
   for (int i = 0; i < Ndata; ++i) {
      if (i < 0.5*Ndata )
         x[i] = gRandom->Gaus(-1.,1.);
      else
         x[i] = gRandom->Gaus(1.,3.);
   }
 
   TH1D * h0 = new TH1D("h0Ref","Starting data",100,-10,10);
   TH1D * h1 = new TH1D("h1Unr","Unuran unbin Generated data",100,-10,10);
   TH1D * h1b = new TH1D("h1bUnr","Unuran bin Generated data",100,-10,10);
   TH1D * h2 = new TH1D("h2GR","Data from TH1::GetRandom",100,-10,10);
 
   h0->FillN(Ndata,x,nullptr,1); // fill histogram with starting data
 
   TUnuran unr;
   TUnuranEmpDist dist(x,x+Ndata,1);
 
 
   TStopwatch w;
   int n = NGEN;
 
   w.Start();
   if (!unr.Init(dist)) return;
   for (int i = 0; i < n; ++i) {
      h1->Fill( unr.Sample() );
   }
 
   w.Stop();
   cout << "Time using Unuran unbin  " << unr.MethodName() << "\t=\t\t " << w.CpuTime() << endl;
 
   TUnuranEmpDist binDist(h0);
 
   w.Start();
   if (!unr.Init(binDist)) return;
   for (int i = 0; i < n; ++i) {
      h1b->Fill( unr.Sample() );
   }
   w.Stop();
   cout << "Time using Unuran bin  " << unr.MethodName() << "\t=\t\t " << w.CpuTime() << endl;
 
   w.Start();
   for (int i = 0; i < n; ++i) {
      h2->Fill(  h0->GetRandom() );
   }
   cout << "Time using TH1::GetRandom " << "\t=\t\t " << w.CpuTime() << endl;
 
   c1->cd(++izone);
 
   h2->Draw();
   h1->SetLineColor(kRed);
   h1->Draw("same");
   h1b->SetLineColor(kBlue);
   h1b->Draw("same");
 
 
}
 
 
 
void unuranDemo() {
 
   //gRandom->SetSeed(0);
 
   // load libraries
   gSystem->Load("libMathCore");
   gSystem->Load("libUnuran");
 
   // create canvas
 
   c1 = new TCanvas("c1_unuranMulti","Multidimensional distribution",10,10,1000,1000);
   c1->Divide(2,4);
   gStyle->SetOptFit();
 
   testStringAPI();
   c1->Update();
   testDistr1D();
   c1->Update();
   testDistrMultiDim();
   c1->Update();
   testDiscDistr();
   c1->Update();
   testEmpDistr();
   c1->Update();
 
 
}

Author

Lorenzo Moneta

Definition in file unuranDemo.C.