ExponentialPower.java

/*
  Copyright � 1999 CERN - European Organization for Nuclear Research.
  Permission to use, copy, modify, distribute and sell this software and its documentation for any purpose 
  is hereby granted without fee, provided that the above copyright notice appear in all copies and 
  that both that copyright notice and this permission notice appear in supporting documentation. 
  CERN makes no representations about the suitability of this software for any purpose. 
  It is provided "as is" without expressed or implied warranty.
*/
package sim.util.distribution;
import ec.util.MersenneTwisterFast;

/**
 * Exponential Power distribution.
 * <p>
 * Valid parameter ranges: <tt>tau >= 1</tt>.
 * <p>
 * Instance methods operate on a user supplied uniform random number generator; they are unsynchronized.
 * <dt>
 * Static methods operate on a default uniform random number generator; they are synchronized.
 * <p>
 * <b>Implementation:</b>
 * <dt>Method: Non-universal rejection method for logconcave densities.
 * <dt>This is a port of <tt>epd.c</tt> from the <A HREF="http://www.cis.tu-graz.ac.at/stat/stadl/random.html">C-RAND / WIN-RAND</A> library.
 * C-RAND's implementation, in turn, is based upon
 * <p>
 * L. Devroye (1986): Non-Uniform Random Variate Generation , Springer Verlag, New York.
 * <p>
 *
 * @author wolfgang.hoschek@cern.ch
 * @version 1.0, 09/24/99
 */
public class ExponentialPower extends AbstractContinousDistribution { 
    private static final long serialVersionUID = 1;

    protected double tau;

    // cached vars for method nextDouble(tau) (for performance only)
    private double s,sm1,tau_set = -1.0;

/**
 * Constructs an Exponential Power distribution.
 * Example: tau=1.0.
 * @throws IllegalArgumentException if <tt>tau < 1.0</tt>.
 */
    public ExponentialPower(double tau, MersenneTwisterFast randomGenerator) {
        setRandomGenerator(randomGenerator);
        setState(tau);
        }
/**
 * Returns a random number from the distribution.
 */
    public double nextDouble() {
        return nextDouble(this.tau);
        }
/**
 * Returns a random number from the distribution; bypasses the internal state.
 * @throws IllegalArgumentException if <tt>tau < 1.0</tt>.
 */
    public double nextDouble(double tau) {
        double u,u1,v,x,y;

        if (tau != tau_set) { // SET-UP 
            s = 1.0/tau;
            sm1 = 1.0 - s;

            tau_set = tau;
            }

        // GENERATOR 
        do {
            u = randomGenerator.nextDouble();                             // U(0/1)      
            u = (2.0*u) - 1.0;                                     // U(-1.0/1.0) 
            u1 = Math.abs(u);                                      // u1=|u|     
            v = randomGenerator.nextDouble();                             // U(0/1) 

            if (u1 <= sm1) { // Uniform hat-function for x <= (1-1/tau)   
                x = u1;
                }
            else { // Exponential hat-function for x > (1-1/tau) 
                y = tau*(1.0 - u1);                                // U(0/1) 
                x = sm1 - s*Math.log(y);
                v = v*y;
                }
            }

        // Acceptance/Rejection
        while (Math.log(v) > -Math.exp(Math.log(x)*tau));

        // Random sign 
        if (u < 0.0) 
            return x;
        else
            return -x;
        }
/**
 * Sets the distribution parameter.
 * @throws IllegalArgumentException if <tt>tau < 1.0</tt>.
 */
    public void setState(double tau) {
        if (tau<1.0) throw new IllegalArgumentException();
        this.tau = tau;
        }
/**
 * Returns a String representation of the receiver.
 */
    public String toString() {
        return this.getClass().getName()+"("+tau+")";
        }
    }