extreme_value_distribution.hpp

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

#ifndef VSMC_RNG_EXTREME_VALUE_DISTRIBUTION_HPP
#define VSMC_RNG_EXTREME_VALUE_DISTRIBUTION_HPP

#include <vsmc/rng/internal/common.hpp>
#include <vsmc/rng/u01_distribution.hpp>

namespace vsmc
{

namespace internal
{

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

} // namespace vsmc::internal

template <typename RealType>
class ExtremeValueDistribution
{
    VSMC_DEFINE_RNG_DISTRIBUTION_2(ExtremeValue, extreme_value, a, 0, b, 1)

    public:
    result_type min() const
    {
        return std::numeric_limits<result_type>::lowest();
    }

    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)
    {
        U01Distribution<RealType> u01;

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

namespace internal
{

template <typename RealType, typename RNGType>
inline void extreme_value_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    u01_distribution(rng, n, r);
    log(n, r, r);
    mul(n, static_cast<RealType>(-1), r, r);
    log(n, r, r);
    fma(n, -b, r, a, r);
}

} // namespace vsmc::internal

template <typename RealType, typename RNGType>
inline void extreme_value_distribution(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    static_assert(std::is_floating_point<RealType>::value,
        "**extreme_value_distribution** USED WITH RealType OTHER THAN "
        "FLOATING POINT TYPES");

    const std::size_t k = 1024;
    const std::size_t m = n / k;
    const std::size_t l = n % k;
    for (std::size_t i = 0; i != m; ++i, r += k)
        internal::extreme_value_distribution_impl(rng, k, r, a, b);
    internal::extreme_value_distribution_impl(rng, l, r, a, b);
}

VSMC_DEFINE_RNG_DISTRIBUTION_RAND_2(ExtremeValue, extreme_value, a, b)

} // namespace vsmc

#endif // VSMC_RNG_EXTREME_VALUE_DISTRIBUTION_HPP