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Posted to commits@commons.apache.org by er...@apache.org on 2017/04/07 16:26:41 UTC
[1/4] commons-rng git commit: RNG-36: Class renamed.
Repository: commons-rng
Updated Branches:
refs/heads/master 805ac0425 -> 2964c6ae6
RNG-36: Class renamed.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/4ef78f53
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/4ef78f53
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/4ef78f53
Branch: refs/heads/master
Commit: 4ef78f53b61eb5df545751da8d3895a3206c1b5a
Parents: 805ac04
Author: Gilles <er...@apache.org>
Authored: Fri Apr 7 15:58:47 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Fri Apr 7 15:58:47 2017 +0200
----------------------------------------------------------------------
.../AhrensDieterMarsagliaTsangGammaSampler.java | 2 +-
.../distribution/BoxMullerLogNormalSampler.java | 2 +-
...rWithRejectionNormalizedGaussianSampler.java | 88 --------------------
.../MarsagliaNormalizedGaussianSampler.java | 87 +++++++++++++++++++
.../sampling/distribution/PoissonSampler.java | 2 +-
.../distribution/ContinuousSamplersList.java | 2 +-
6 files changed, 91 insertions(+), 92 deletions(-)
----------------------------------------------------------------------
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java
index baf3b17..7883362 100644
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/AhrensDieterMarsagliaTsangGammaSampler.java
@@ -60,7 +60,7 @@ public class AhrensDieterMarsagliaTsangGammaSampler
super(rng);
this.alpha = alpha;
this.theta = theta;
- gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng);
+ gaussian = new MarsagliaNormalizedGaussianSampler(rng);
}
/** {@inheritDoc} */
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java
index 5e4ba22..e793e38 100644
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java
@@ -43,7 +43,7 @@ public class BoxMullerLogNormalSampler
super(null); // Not used.
this.scale = scale;
this.shape = shape;
- gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng);
+ gaussian = new MarsagliaNormalizedGaussianSampler(rng);
}
/** {@inheritDoc} */
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java
deleted file mode 100644
index ae77ce6..0000000
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerWithRejectionNormalizedGaussianSampler.java
+++ /dev/null
@@ -1,88 +0,0 @@
-/*
- * Licensed to the Apache Software Foundation (ASF) under one or more
- * contributor license agreements. See the NOTICE file distributed with
- * this work for additional information regarding copyright ownership.
- * The ASF licenses this file to You under the Apache License, Version 2.0
- * (the "License"); you may not use this file except in compliance with
- * the License. You may obtain a copy of the License at
- *
- * http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
-package org.apache.commons.rng.sampling.distribution;
-
-import org.apache.commons.rng.UniformRandomProvider;
-
-/**
- * <a href="https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform">
- * Box-Muller algorithm</a> for sampling from Gaussian distribution with
- * mean 0 and standard deviation 1.
- * This is a variation, suggested in <a href="http://haifux.org/lectures/79/random.pdf">
- * this presentation</a> (page 39), of the algorithm implemented in
- * {@link BoxMullerNormalizedGaussianSampler}.
- *
- * @since 1.1
- */
-public class BoxMullerWithRejectionNormalizedGaussianSampler
- extends SamplerBase
- implements NormalizedGaussianSampler {
- /** Next gaussian. */
- private double nextGaussian = Double.NaN;
-
- /**
- * @param rng Generator of uniformly distributed random numbers.
- */
- public BoxMullerWithRejectionNormalizedGaussianSampler(UniformRandomProvider rng) {
- super(rng);
- }
-
- /** {@inheritDoc} */
- @Override
- public double sample() {
- final double random;
- if (Double.isNaN(nextGaussian)) {
- // Rejection scheme for selecting a pair that lies within the unit circle.
- SAMPLE: while (true) {
- // Generate a pair of numbers within [-1 , 1).
- final double x = 2 * nextDouble() - 1;
- final double y = 2 * nextDouble() - 1;
- final double r2 = x * x + y * y;
-
- if (r2 < 1) {
- // Pair (x, y) is within unit circle.
-
- final double r = Math.sqrt(r2);
- final double alpha = 2 * Math.sqrt(-Math.log(r)) / r;
-
- // Return the first element of the generated pair.
- random = alpha * x;
-
- // Keep second element of the pair for next invocation.
- nextGaussian = alpha * y;
- break SAMPLE;
- }
- // Pair is not within the unit circle: Generate another one.
- }
- } else {
- // Use the second element of the pair (generated at the
- // previous invocation).
- random = nextGaussian;
-
- // Both elements of the pair have been used.
- nextGaussian = Double.NaN;
- }
-
- return random;
- }
-
- /** {@inheritDoc} */
- @Override
- public String toString() {
- return "Box-Muller (with rejection) normalized Gaussian deviate [" + super.toString() + "]";
- }
-}
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
new file mode 100644
index 0000000..6dc9f2a
--- /dev/null
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
@@ -0,0 +1,87 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.rng.sampling.distribution;
+
+import org.apache.commons.rng.UniformRandomProvider;
+
+/**
+ * <a href="https://en.wikipedia.org/wiki/Marsaglia_polar_method">
+ * Marsaglia polar method</a> for sampling from a Gaussian distribution
+ * with mean 0 and standard deviation 1.
+ * This is a variation of the algorithm implemented in
+ * {@link BoxMullerNormalizedGaussianSampler}.
+ *
+ * @since 1.1
+ */
+public class MarsagliaNormalizedGaussianSampler
+ extends SamplerBase
+ implements NormalizedGaussianSampler {
+ /** Next gaussian. */
+ private double nextGaussian = Double.NaN;
+
+ /**
+ * @param rng Generator of uniformly distributed random numbers.
+ */
+ public MarsagliaNormalizedGaussianSampler(UniformRandomProvider rng) {
+ super(rng);
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ public double sample() {
+ final double random;
+ if (Double.isNaN(nextGaussian)) {
+ // Rejection scheme for selecting a pair that lies within the unit circle.
+ SAMPLE: while (true) {
+ // Generate a pair of numbers within [-1 , 1).
+ final double x = 2 * nextDouble() - 1;
+ final double y = 2 * nextDouble() - 1;
+ final double r2 = x * x + y * y;
+
+ if (r2 < 1) {
+ // Pair (x, y) is within unit circle.
+
+ final double r = Math.sqrt(r2);
+ final double alpha = 2 * Math.sqrt(-Math.log(r)) / r;
+
+ // Return the first element of the generated pair.
+ random = alpha * x;
+
+ // Keep second element of the pair for next invocation.
+ nextGaussian = alpha * y;
+ break SAMPLE;
+ }
+ // Pair is not within the unit circle: Generate another one.
+ }
+ } else {
+ // Use the second element of the pair (generated at the
+ // previous invocation).
+ random = nextGaussian;
+
+ // Both elements of the pair have been used.
+ nextGaussian = Double.NaN;
+ }
+
+ return random;
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ public String toString() {
+ return "Box-Muller (with rejection) normalized Gaussian deviate [" + super.toString() + "]";
+ }
+}
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java
index ea40f81..50e696e 100644
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/PoissonSampler.java
@@ -64,7 +64,7 @@ public class PoissonSampler
this.mean = mean;
- gaussian = new BoxMullerWithRejectionNormalizedGaussianSampler(rng);
+ gaussian = new MarsagliaNormalizedGaussianSampler(rng);
exponential = new AhrensDieterExponentialSampler(rng, 1);
factorialLog = mean < PIVOT ?
null : // Not used.
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/4ef78f53/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java b/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java
index aa0e458..0383928 100644
--- a/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java
+++ b/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java
@@ -50,7 +50,7 @@ public class ContinuousSamplersList {
meanNormal, sigmaNormal));
// Gaussian ("Box-Muller" with rejection).
add(LIST, new org.apache.commons.math3.distribution.NormalDistribution(meanNormal, sigmaNormal),
- new GaussianSampler(new BoxMullerWithRejectionNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)),
+ new GaussianSampler(new MarsagliaNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)),
meanNormal, sigmaNormal));
// Beta ("inverse method").
[3/4] commons-rng git commit: RNG-36: Ensure precondition.
Posted by er...@apache.org.
RNG-36: Ensure precondition.
Not both elements of the generated pair can be zero.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/b1b44a5c
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/b1b44a5c
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/b1b44a5c
Branch: refs/heads/master
Commit: b1b44a5ce686c4b19b6c642fe38c24b9f33d5805
Parents: e591a65
Author: Gilles <er...@apache.org>
Authored: Fri Apr 7 16:21:13 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Fri Apr 7 16:21:13 2017 +0200
----------------------------------------------------------------------
.../MarsagliaNormalizedGaussianSampler.java | 27 ++++++++++----------
1 file changed, 13 insertions(+), 14 deletions(-)
----------------------------------------------------------------------
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/b1b44a5c/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
index 6c86452..0ef6880 100644
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
@@ -43,7 +43,6 @@ public class MarsagliaNormalizedGaussianSampler
/** {@inheritDoc} */
@Override
public double sample() {
- final double random;
if (Double.isNaN(nextGaussian)) {
// Rejection scheme for selecting a pair that lies within the unit circle.
SAMPLE: while (true) {
@@ -52,30 +51,30 @@ public class MarsagliaNormalizedGaussianSampler
final double y = 2 * nextDouble() - 1;
final double r2 = x * x + y * y;
- if (r2 < 1) {
- // Pair (x, y) is within unit circle.
+ if (r2 > 1 || r2 == 0) {
+ // Pair is not within the unit circle: Generate another one.
+ continue SAMPLE;
+ }
- final double alpha = Math.sqrt(-2 * Math.log(r2) / r2);
+ // Pair (x, y) is within unit circle.
+ final double alpha = Math.sqrt(-2 * Math.log(r2) / r2);
- // Return the first element of the generated pair.
- random = alpha * x;
+ // Keep second element of the pair for next invocation.
+ nextGaussian = alpha * y;
- // Keep second element of the pair for next invocation.
- nextGaussian = alpha * y;
- break SAMPLE;
- }
- // Pair is not within the unit circle: Generate another one.
+ // Return the first element of the generated pair.
+ return alpha * x;
}
} else {
// Use the second element of the pair (generated at the
// previous invocation).
- random = nextGaussian;
+ final double r = nextGaussian;
// Both elements of the pair have been used.
nextGaussian = Double.NaN;
- }
- return random;
+ return r;
+ }
}
/** {@inheritDoc} */
[4/4] commons-rng git commit: Class was renamed.
Posted by er...@apache.org.
Class was renamed.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/2964c6ae
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/2964c6ae
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/2964c6ae
Branch: refs/heads/master
Commit: 2964c6ae66314994d2c1452b378661b5995f7fcb
Parents: b1b44a5
Author: Gilles <er...@apache.org>
Authored: Fri Apr 7 18:25:02 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Fri Apr 7 18:25:02 2017 +0200
----------------------------------------------------------------------
.../commons/rng/jmh/distribution/SamplersPerformance.java | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
----------------------------------------------------------------------
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/2964c6ae/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java
----------------------------------------------------------------------
diff --git a/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java b/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java
index b05bfb1..4d338e6 100644
--- a/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java
+++ b/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java
@@ -37,7 +37,7 @@ import org.apache.commons.rng.sampling.distribution.ContinuousSampler;
import org.apache.commons.rng.sampling.distribution.DiscreteSampler;
import org.apache.commons.rng.sampling.distribution.BoxMullerGaussianSampler;
import org.apache.commons.rng.sampling.distribution.BoxMullerNormalizedGaussianSampler;
-import org.apache.commons.rng.sampling.distribution.BoxMullerWithRejectionNormalizedGaussianSampler;
+import org.apache.commons.rng.sampling.distribution.MarsagliaNormalizedGaussianSampler;
import org.apache.commons.rng.sampling.distribution.AhrensDieterExponentialSampler;
import org.apache.commons.rng.sampling.distribution.AhrensDieterMarsagliaTsangGammaSampler;
import org.apache.commons.rng.sampling.distribution.BoxMullerLogNormalSampler;
@@ -157,9 +157,9 @@ public class SamplersPerformance {
* @param bh Data sink.
*/
@Benchmark
- public void runBoxMullerWithRejectionNormalizedGaussianSampler(Sources sources,
+ public void runMarsagliaNormalizedGaussianSampler(Sources sources,
Blackhole bh) {
- runSample(new BoxMullerWithRejectionNormalizedGaussianSampler(sources.getGenerator()), bh);
+ runSample(new MarsagliaNormalizedGaussianSampler(sources.getGenerator()), bh);
}
/**
[2/4] commons-rng git commit: RNG-36: Performance improvement.
Posted by er...@apache.org.
RNG-36: Performance improvement.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/e591a656
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/e591a656
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/e591a656
Branch: refs/heads/master
Commit: e591a65643c1383fd72033df6725de3ae7e2b27c
Parents: 4ef78f5
Author: Gilles <er...@apache.org>
Authored: Fri Apr 7 16:03:50 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Fri Apr 7 16:03:50 2017 +0200
----------------------------------------------------------------------
.../sampling/distribution/MarsagliaNormalizedGaussianSampler.java | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
----------------------------------------------------------------------
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/e591a656/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
----------------------------------------------------------------------
diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
index 6dc9f2a..6c86452 100644
--- a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaNormalizedGaussianSampler.java
@@ -55,8 +55,7 @@ public class MarsagliaNormalizedGaussianSampler
if (r2 < 1) {
// Pair (x, y) is within unit circle.
- final double r = Math.sqrt(r2);
- final double alpha = 2 * Math.sqrt(-Math.log(r)) / r;
+ final double alpha = Math.sqrt(-2 * Math.log(r2) / r2);
// Return the first element of the generated pair.
random = alpha * x;