pareto_distribution.hpp

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//============================================================================
// vSMC/include/vsmc/rng/pareto_distribution.hpp
//----------------------------------------------------------------------------
//                         vSMC: Scalable Monte Carlo
//----------------------------------------------------------------------------
// Copyright (c) 2013-2016, Yan Zhou
// All rights reserved.
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//============================================================================

#ifndef VSMC_RNG_PARETO_DISTRIBUTION_HPP
#define VSMC_RNG_PARETO_DISTRIBUTION_HPP

#include <vsmc/rng/internal/common.hpp>
#include <vsmc/rng/exponential_distribution.hpp>

namespace vsmc
{

namespace internal
{

template <typename RealType>
inline bool pareto_distribution_check_param(RealType a, RealType b)
{
    return a > 0 && b > 0;
}

} // namespace vsmc::internal

template <typename RealType>
class ParetoDistribution
{
    VSMC_DEFINE_RNG_DISTRIBUTION_2(Pareto, pareto, a, 1, b, 1)
    VSMC_DEFINE_RNG_DISTRIBUTION_MEMBER_0

    public:
    result_type min() const { return a(); }

    result_type max() const { return std::numeric_limits<result_type>::max(); }

    void reset() {}

    private:
    template <typename RNGType>
    result_type generate(RNGType &rng, const param_type &param)
    {
        U01OCDistribution<RealType> u01;

        return param.b() * std::exp(-std::log(u01(rng)) / param.a());
    }
}; // class ParetoDistribution

namespace internal
{

template <std::size_t, typename RealType, typename RNGType>
inline void pareto_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    exponential_distribution(rng, n, r, a);
    exp(n, r, r);
    mul(n, b, r, r);
}

} // namespace vsmc::internal

VSMC_DEFINE_RNG_DISTRIBUTION_IMPL_2(pareto, a, b)
VSMC_DEFINE_RNG_DISTRIBUTION_RAND_2(Pareto, pareto, a, b)

} // namespace vsmc

#endif // VSMC_RNG_PARETO_DISTRIBUTION_HPP