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Diffstat (limited to 'gsl-1.9/randist/lognormal.c')
-rw-r--r-- | gsl-1.9/randist/lognormal.c | 70 |
1 files changed, 70 insertions, 0 deletions
diff --git a/gsl-1.9/randist/lognormal.c b/gsl-1.9/randist/lognormal.c new file mode 100644 index 0000000..2dc215a --- /dev/null +++ b/gsl-1.9/randist/lognormal.c @@ -0,0 +1,70 @@ +/* randist/lognormal.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 lognormal distribution has the form + + p(x) dx = 1/(x * sqrt(2 pi sigma^2)) exp(-(ln(x) - zeta)^2/2 sigma^2) dx + + for x > 0. Lognormal random numbers are the exponentials of + gaussian random numbers */ + +double +gsl_ran_lognormal (const gsl_rng * r, const double zeta, const double sigma) +{ + double u, v, r2, normal, z; + + 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); + + normal = u * sqrt (-2.0 * log (r2) / r2); + + z = exp (sigma * normal + zeta); + + return z; +} + +double +gsl_ran_lognormal_pdf (const double x, const double zeta, const double sigma) +{ + if (x <= 0) + { + return 0 ; + } + else + { + double u = (log (x) - zeta)/sigma; + double p = 1 / (x * fabs(sigma) * sqrt (2 * M_PI)) * exp (-(u * u) /2); + return p; + } +} |