exponential_distribution.hpp

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//============================================================================
// vSMC/include/vsmc/rng/exponential_distribution.hpp
//----------------------------------------------------------------------------
//                         vSMC: Scalable Monte Carlo
//----------------------------------------------------------------------------
// Copyright (c) 2013-2015, Yan Zhou
// All rights reserved.
//
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// modification, are permitted provided that the following conditions are met:
//
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//   this list of conditions and the following disclaimer.
//
//   Redistributions in binary form must reproduce the above copyright notice,
//   this list of conditions and the following disclaimer in the documentation
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//============================================================================

#ifndef VSMC_RNG_EXPONENTIAL_DISTRIBUTION_HPP
#define VSMC_RNG_EXPONENTIAL_DISTRIBUTION_HPP

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

namespace vsmc
{

namespace internal
{

template <typename RealType>
inline bool exponential_distribution_check_param(RealType lambda)
{
    return lambda > 0;
}

} // namespace vsmc::internal

template <typename RealType>
class ExponentialDistribution
{
    VSMC_DEFINE_RNG_DISTRIBUTION_1(
        Exponential, exponential, RealType, result_type, lambda, 1)
    VSMC_DEFINE_RNG_DISTRIBUTION_OPERATORS

    public:
    result_type min VSMC_MNE() const { return 0; }

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

    void reset() {}

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

        return -std::log(runif(rng)) / param.lambda();
    }
}; // class ExponentialDistribution

namespace internal
{

template <typename RealType, typename RNGType>
inline void exponential_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType lambda)
{
    u01_oc_distribution(rng, n, r);
    log(n, r, r);
    mul(n, -1 / lambda, r, r);
}

} // namespace vsmc::internal

template <typename RealType, typename RNGType>
inline void exponential_distribution(
    RNGType &rng, std::size_t n, RealType *r, RealType lambda)
{
    const std::size_t k = 1000;
    const std::size_t m = n / k;
    const std::size_t l = n % k;
    for (std::size_t i = 0; i != m; ++i)
        internal::exponential_distribution_impl(rng, k, r + i * k, lambda);
    internal::exponential_distribution_impl(rng, l, r + m * k, lambda);
}

template <typename RealType, typename RNGType>
inline void rng_rand(RNGType &rng, ExponentialDistribution<RealType> &dist,
    std::size_t n, RealType *r)
{
    dist(rng, n, r);
}

} // namespace vsmc

#endif // VSMC_RNG_EXPONENTIAL_DISTRIBUTION_HPP