1 files changed, 70 insertions, 0 deletions
diff --git a/gsl-1.9/randist/bigauss.c b/gsl-1.9/randist/bigauss.c
new file mode 100644
index 0000000..c77b524
--- /dev/null
+++ b/gsl-1.9/randist/bigauss.c
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+/* randist/bigauss.c
+ * 
+ * Copyright (C) 1996, 1997, 1998, 1999, 2000 James Theiler, Brian Gough
+ * 
+ * This program is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 2 of the License, or (at
+ * your option) any later version.
+ * 
+ * This program is distributed in the hope that it will be useful, but
+ * WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+ * General Public License for more details.
+ * 
+ * You should have received a copy of the GNU General Public License
+ * along with this program; if not, write to the Free Software
+ * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
+ */
+
+#include <config.h>
+#include <math.h>
+#include <gsl/gsl_math.h>
+#include <gsl/gsl_rng.h>
+#include <gsl/gsl_randist.h>
+
+/* The Bivariate Gaussian probability distribution is 
+
+   p(x,y) dxdy = (1/(2 pi sigma_x sigma_y sqrt(c))) 
+    exp(-((x/sigma_x)^2 + (y/sigma_y)^2 - 2 r (x/sigma_x)(y/sigma_y))/2c) dxdy 
+
+   where c = 1-r^2
+*/
+
+void
+gsl_ran_bivariate_gaussian (const gsl_rng * r, 
+                            double sigma_x, double sigma_y, double rho,
+                            double *x, double *y)
+{
+  double u, v, r2, scale;
+
+  do
+    {
+      /* choose x,y in uniform square (-1,-1) to (+1,+1) */
+
+      u = -1 + 2 * gsl_rng_uniform (r);
+      v = -1 + 2 * gsl_rng_uniform (r);
+
+      /* see if it is in the unit circle */
+      r2 = u * u + v * v;
+    }
+  while (r2 > 1.0 || r2 == 0);
+
+  scale = sqrt (-2.0 * log (r2) / r2);
+
+  *x = sigma_x * u * scale;
+  *y = sigma_y * (rho * u + sqrt(1 - rho*rho) * v) * scale;
+}
+
+double
+gsl_ran_bivariate_gaussian_pdf (const double x, const double y, 
+                                const double sigma_x, const double sigma_y,
+                                const double rho)
+{
+  double u = x / sigma_x ;
+  double v = y / sigma_y ;
+  double c = 1 - rho*rho ;
+  double p = (1 / (2 * M_PI * sigma_x * sigma_y * sqrt(c))) 
+    * exp (-(u * u - 2 * rho * u * v + v * v) / (2 * c));
+  return p;
+}