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Posted to commits@commons.apache.org by er...@apache.org on 2017/04/09 11:34:02 UTC
[1/2] commons-rng git commit: Revert internal sampler class.
Repository: commons-rng
Updated Branches:
refs/heads/master 6c8e3cbf9 -> 449458819
Revert internal sampler class.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/c1a2b82b
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/c1a2b82b
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/c1a2b82b
Branch: refs/heads/master
Commit: c1a2b82b78451f5be96c700cec5d43444a32a24f
Parents: 6c8e3cb
Author: Gilles <er...@apache.org>
Authored: Sat Apr 8 16:54:45 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Sat Apr 8 16:54:45 2017 +0200
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.../rng/sampling/distribution/BoxMullerLogNormalSampler.java | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
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http://git-wip-us.apache.org/repos/asf/commons-rng/blob/c1a2b82b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/BoxMullerLogNormalSampler.java
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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 e793e38..354b8d4 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 MarsagliaNormalizedGaussianSampler(rng);
+ gaussian = new BoxMullerNormalizedGaussianSampler(rng);
}
/** {@inheritDoc} */
[2/2] commons-rng git commit: RNG-36: New log normal sampler
implementation.
Posted by er...@apache.org.
RNG-36: New log normal sampler implementation.
The new class uses the (faster) polar method as the underlying Gaussian sampler.
Project: http://git-wip-us.apache.org/repos/asf/commons-rng/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-rng/commit/44945881
Tree: http://git-wip-us.apache.org/repos/asf/commons-rng/tree/44945881
Diff: http://git-wip-us.apache.org/repos/asf/commons-rng/diff/44945881
Branch: refs/heads/master
Commit: 4494588190d5fc8f84e93b79ba81780f6d91eefd
Parents: c1a2b82
Author: Gilles <er...@apache.org>
Authored: Sun Apr 9 13:14:00 2017 +0200
Committer: Gilles <er...@apache.org>
Committed: Sun Apr 9 13:14:00 2017 +0200
----------------------------------------------------------------------
.../jmh/distribution/SamplersPerformance.java | 11 ++++
.../distribution/MarsagliaLogNormalSampler.java | 62 ++++++++++++++++++++
.../distribution/ContinuousSamplersList.java | 5 +-
3 files changed, 77 insertions(+), 1 deletion(-)
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http://git-wip-us.apache.org/repos/asf/commons-rng/blob/44945881/commons-rng-jmh/src/main/java/org/apache/commons/rng/jmh/distribution/SamplersPerformance.java
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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 4d338e6..d24664c 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
@@ -41,6 +41,7 @@ import org.apache.commons.rng.sampling.distribution.MarsagliaNormalizedGaussianS
import org.apache.commons.rng.sampling.distribution.AhrensDieterExponentialSampler;
import org.apache.commons.rng.sampling.distribution.AhrensDieterMarsagliaTsangGammaSampler;
import org.apache.commons.rng.sampling.distribution.BoxMullerLogNormalSampler;
+import org.apache.commons.rng.sampling.distribution.MarsagliaLogNormalSampler;
import org.apache.commons.rng.sampling.distribution.ChengBetaSampler;
import org.apache.commons.rng.sampling.distribution.ContinuousUniformSampler;
import org.apache.commons.rng.sampling.distribution.DiscreteUniformSampler;
@@ -197,6 +198,16 @@ public class SamplersPerformance {
* @param bh Data sink.
*/
@Benchmark
+ public void runMarsagliaLogNormalSampler(Sources sources,
+ Blackhole bh) {
+ runSample(new MarsagliaLogNormalSampler(sources.getGenerator(), 12.3, 4.6), bh);
+ }
+
+ /**
+ * @param sources Source of randomness.
+ * @param bh Data sink.
+ */
+ @Benchmark
public void runChengBetaSampler(Sources sources,
Blackhole bh) {
runSample(new ChengBetaSampler(sources.getGenerator(), 0.45, 6.7), bh);
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/44945881/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaLogNormalSampler.java
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diff --git a/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaLogNormalSampler.java b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaLogNormalSampler.java
new file mode 100644
index 0000000..885aeb9
--- /dev/null
+++ b/commons-rng-sampling/src/main/java/org/apache/commons/rng/sampling/distribution/MarsagliaLogNormalSampler.java
@@ -0,0 +1,62 @@
+/*
+ * 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">
+ * polar method</a> for sampling from a Log normal distribution.
+ *
+ * @since 1.1
+ */
+public class MarsagliaLogNormalSampler
+ extends SamplerBase
+ implements ContinuousSampler {
+ /** Scale. */
+ private final double scale;
+ /** Shape. */
+ private final double shape;
+ /** Gaussian sampling. */
+ private final NormalizedGaussianSampler gaussian;
+
+ /**
+ * @param rng Generator of uniformly distributed random numbers.
+ * @param scale Scale of the Log normal distribution.
+ * @param shape Shape of the Log normal distribution.
+ */
+ public MarsagliaLogNormalSampler(UniformRandomProvider rng,
+ double scale,
+ double shape) {
+ super(null); // Not used.
+ this.scale = scale;
+ this.shape = shape;
+ gaussian = new MarsagliaNormalizedGaussianSampler(rng);
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ public double sample() {
+ return Math.exp(scale + shape * gaussian.sample());
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ public String toString() {
+ return "Marsaglia Log Normal [" + gaussian.toString() + "]";
+ }
+}
http://git-wip-us.apache.org/repos/asf/commons-rng/blob/44945881/commons-rng-sampling/src/test/java/org/apache/commons/rng/sampling/distribution/ContinuousSamplersList.java
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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 0383928..cf89a4d 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
@@ -48,7 +48,7 @@ public class ContinuousSamplersList {
add(LIST, new org.apache.commons.math3.distribution.NormalDistribution(meanNormal, sigmaNormal),
new GaussianSampler(new BoxMullerNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)),
meanNormal, sigmaNormal));
- // Gaussian ("Box-Muller" with rejection).
+ // Gaussian ("Marsaglia").
add(LIST, new org.apache.commons.math3.distribution.NormalDistribution(meanNormal, sigmaNormal),
new GaussianSampler(new MarsagliaNormalizedGaussianSampler(RandomSource.create(RandomSource.MT)),
meanNormal, sigmaNormal));
@@ -137,6 +137,9 @@ public class ContinuousSamplersList {
// Log normal ("Box-Muller").
add(LIST, new org.apache.commons.math3.distribution.LogNormalDistribution(scaleLogNormal, shapeLogNormal),
new BoxMullerLogNormalSampler(RandomSource.create(RandomSource.XOR_SHIFT_1024_S), scaleLogNormal, shapeLogNormal));
+ // Log normal ("Marsaglia").
+ add(LIST, new org.apache.commons.math3.distribution.LogNormalDistribution(scaleLogNormal, shapeLogNormal),
+ new MarsagliaLogNormalSampler(RandomSource.create(RandomSource.MT_64), scaleLogNormal, shapeLogNormal));
// Logistic ("inverse method").
final double muLogistic = -123.456;