RandNPair.java

/**
 * (C) Copyright IBM Corp. 2010, 2015
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 * 
 */

package com.ibm.bi.dml.runtime.util;

import java.util.Random;

/**
 * Class that generates a pair of random numbers from standard normal 
 * distribution N(0,1). Box-Muller method is used to compute random 
 * numbers from N(0,1) using two independent random numbers from U[0,1).
 */

public class RandNPair 
{
	private double N1, N2;
	
	public double getFirst() { return N1; }
	public double getSecond() { return N2; }
	
	public void compute(double U1, double U2) {
		// Box-Muller transform
		double v1 = Math.sqrt(-2*Math.log(U1));
		double v2 = 2*Math.PI*U2;
		N1 = v1 * Math.cos(v2);
		N2 = v1 * Math.sin(v2);
	}
	
	public void compute(Random r) {
		compute(r.nextDouble(), r.nextDouble());
	}
	
	public void compute(long seed) {
		compute(new Random(seed));
	}

}