exponential_distribution.hpp

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//============================================================================
// vSMC/include/vsmc/rng/exponential_distribution.hpp
//----------------------------------------------------------------------------
//                         vSMC: Scalable Monte Carlo
//----------------------------------------------------------------------------
// Copyright (c) 2013-2016, Yan Zhou
// All rights reserved.
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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, lambda, 1)

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

    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 -std::log(1 - u01(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_distribution(rng, n, r);
    sub(n, static_cast<RealType>(1), r, 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)
{
    static_assert(std::is_floating_point<RealType>::value,
        "**exponential_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::exponential_distribution_impl(rng, k, r, lambda);
    internal::exponential_distribution_impl(rng, l, r, lambda);
}

VSMC_DEFINE_RNG_DISTRIBUTION_RAND_1(Exponential, exponential, lambda)

} // namespace vsmc

#endif // VSMC_RNG_EXPONENTIAL_DISTRIBUTION_HPP