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GSLRndmEngines.h
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1// @(#)root/mathmore:$Id$
2// Author: L. Moneta, A. Zsenei 08/2005
3
4 /**********************************************************************
5 * *
6 * Copyright (c) 2004 ROOT Foundation, CERN/PH-SFT *
7 * *
8 * This library is free software; you can redistribute it and/or *
9 * modify it under the terms of the GNU General Public License *
10 * as published by the Free Software Foundation; either version 2 *
11 * of the License, or (at your option) any later version. *
12 * *
13 * This library is distributed in the hope that it will be useful, *
14 * but WITHOUT ANY WARRANTY; without even the implied warranty of *
15 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU *
16 * General Public License for more details. *
17 * *
18 * You should have received a copy of the GNU General Public License *
19 * along with this library (see file COPYING); if not, write *
20 * to the Free Software Foundation, Inc., 59 Temple Place, Suite *
21 * 330, Boston, MA 02111-1307 USA, or contact the author. *
22 * *
23 **********************************************************************/
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
38namespace ROOT {
39namespace 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 */
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 */
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:
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:
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:
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:
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 */
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 */
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 */
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 */
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 */
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 */
503 public:
505 GSLRngMinStd();
506 };
507
508 /** MixMax generator based on ROOT::Math::MixMaxEngine of N=240
509
510 @ingroup Random
511 */
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
526
527#endif /* ROOT_Math_GSLRndmEngines */
528
ROOT::R::TRInterface & r
Definition: Object.C:4
#define b(i)
Definition: RSha256.hxx:100
GSLRandomEngine Base class for all GSL random engines, normally user instantiate the derived classes ...
double operator()() const
Generate a random number between ]0,1] 0 is excluded and 1 is included.
void Dir3D(double &x, double &y, double &z) const
generate random numbers in a 3D sphere of radious 1
void SetSeed(unsigned int seed) const
set the random generator seed
void Gaussian2D(double sigmaX, double sigmaY, double rho, double &x, double &y) const
Bivariate Gaussian distribution with correlation.
unsigned int Poisson(double mu) const
Poisson distribution.
double ChiSquare(double nu) const
Chi square distribution.
double FDist(double nu1, double nu2) const
F distrbution.
GSLRngWrapper * Engine()
internal method to return the engine Used by class like GSLMCIntegrator to set the engine
double Gamma(double a, double b) const
Gamma distribution.
GSLRandomEngine()
default constructor.
double Exponential(double mu) const
Exponential distribution.
double GaussianTail(double a, double sigma) const
Gaussian Tail distribution.
double Rayleigh(double sigma) const
Rayleigh distribution.
std::vector< unsigned int > Multinomial(unsigned int ntot, const std::vector< double > &p) const
Multinomial distribution.
unsigned long MaxInt() const
return the maximum integer +1 a generator can handle
double Cauchy(double a) const
Cauchy distribution.
double GaussianZig(double sigma) const
Gaussian distribution - Ziggurat method.
unsigned long MinInt() const
return the minimum integer a generator can handle typically this value is 0
double Gaussian(double sigma) const
Gaussian distribution - default method is Box-Muller (polar method)
double Beta(double a, double b) const
Beta distribution.
double Landau() const
Landau distribution.
unsigned int NegativeBinomial(double p, double n) const
Negative Binomial distribution.
void RandomArray(Iterator begin, Iterator end) const
Generate an array of random numbers.
unsigned int Size() const
return the state size of generator
double Pareto(double a, double b) const
Pareto distribution.
double LogNormal(double zeta, double sigma) const
Log Normal distribution.
unsigned int Binomial(double p, unsigned int n) const
Binomial distribution.
void Dir2D(double &x, double &y) const
generate random numbers in a 2D circle of radious 1
unsigned long IntRndm() const
Generate an integer number between [0,max_generator-1] (including 0 and max-1) if max is larger than ...
void Terminate()
delete pointer to contained rng
std::string Name() const
return name of generator
double GaussianRatio(double sigma) const
Gaussian distribution - Ratio method.
double Logistic(double a) const
Logistic 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 ...
void SetType(GSLRngWrapper *r)
internal method used by the derived class to set the type of generators
void Initialize()
initialize the generator If no rng is present the default one based on Mersenne and Twister is create...
double tDist(double nu) const
t student distribution
GSLRandomEngine & operator=(const GSLRandomEngine &eng)
Assignment operator : make a deep copy of the contained GSL generator.
double Rndm() const
Generate a random number between ]0,1] 0 is excluded and 1 is included.
virtual ~GSLRandomEngine()
call Terminate()
Combined multiple recursive generator (L'Ecuyer) see here
GSLRandomEngine BaseType
Lagged Fibonacci generator by Ziff see here
GSLRandomEngine BaseType
5-th order multiple recursive generator (L'Ecuyer, Blouin and Coutre) see here
GSLRandomEngine BaseType
Mersenne-Twister generator gsl_rng_mt19937 from here
GSLRandomEngine BaseType
MINSTD generator (Park and Miller) see here
GSLRandomEngine BaseType
MixMax generator based on ROOT::Math::MixMaxEngine of N=240.
GSLRandomEngine BaseType
Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 1 (I...
Double precision (48 bits) version of Second generation of Ranlux generator with luxury level of 2 (I...
Second generation of Ranlux generator for single precision with luxury level of 1 (It throws away 202...
Second generation of Ranlux generator for Single precision with luxury level of 2 (It throws away 397...
Old Ranlux generator (James, Luscher) (default luxury level, p = 223) (This is eequivalent to TRandom...
GSLRandomEngine BaseType
RANMAR generator see here
GSLRandomEngine BaseType
BSD rand() generator gsl_rmg_rand from here
GSLRandomEngine BaseType
Tausworthe generator by L'Ecuyer see here
GSLRandomEngine BaseType
GSLRngWrapper class to wrap gsl_rng structure.
Definition: GSLRngWrapper.h:25
const Double_t sigma
Double_t y[n]
Definition: legend1.C:17
Double_t x[n]
Definition: legend1.C:17
const Int_t n
Definition: legend1.C:16
Namespace for new Math classes and functions.
GSLRngRanLuxS1 GSLRngRanLux1
GSLRngRanLuxS2 GSLRngRanLux2
GSLRngRanLuxD2 GSLRngRanLux48
VSD Structures.
Definition: StringConv.hxx:21
auto * a
Definition: textangle.C:12