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Diffstat (limited to 'gsl-1.9/rng/cmrg.c')
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diff --git a/gsl-1.9/rng/cmrg.c b/gsl-1.9/rng/cmrg.c new file mode 100644 index 0000000..60cca64 --- /dev/null +++ b/gsl-1.9/rng/cmrg.c @@ -0,0 +1,197 @@ +/* rng/cmrg.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 <stdlib.h> +#include <gsl/gsl_rng.h> + +/* This is a combined multiple recursive generator. The sequence is, + + z_n = (x_n - y_n) mod m1 + + where the two underlying generators x and y are, + + x_n = (a_{1} x_{n-1} + a_{2} x_{n-2} + a_{3} x_{n-3}) mod m1 + y_n = (b_{1} y_{n-1} + b_{2} y_{n-2} + b_{3} y_{n-3}) mod m2 + + with coefficients a11 ... a23, + + a_{1} = 0, a_{2} = 63308, a_{3} = -183326 + b_{1} = 86098, b_{2} = 0, b_{3} = -539608 + + and moduli m1, m2, + + m1 = 2^31 - 1 = 2147483647 + m2 = 2^31 - 2000169 = 2145483479 + + We initialize the generator with + + x_1 = s_1 MOD m1, x_2 = s_2 MOD m1, x_3 = s_3 MOD m1 + y_1 = s_4 MOD m2, y_2 = s_5 MOD m2, y_3 = s_6 MOD m2 + + where s_n = (69069 * s_{n-1}) mod 2^32 and s_0 = s is the + user-supplied seed. + + NOTE: According to the paper the initial values for x_n must lie in + the range 0 <= x_n <= (m1 - 1) and the initial values for y_n must + lie in the range 0 <= y_n <= (m2 - 1), with at least one non-zero + value -- our seeding procedure satisfies these constraints. + + We then use 7 iterations of the generator to "warm up" the internal + state. + + The theoretical value of z_{10008} is 719452880. The subscript 10008 + means (1) seed the generator with s=1, (2) do the seven warm-up + iterations that are part of the seeding process, (3) then do 10000 + actual iterations. + + The period of this generator is about 2^205. + + From: P. L'Ecuyer, "Combined Multiple Recursive Random Number + Generators," Operations Research, 44, 5 (1996), 816--822. + + This is available on the net from L'Ecuyer's home page, + + http://www.iro.umontreal.ca/~lecuyer/myftp/papers/combmrg.ps + ftp://ftp.iro.umontreal.ca/pub/simulation/lecuyer/papers/combmrg.ps */ + +static inline unsigned long int cmrg_get (void *vstate); +static double cmrg_get_double (void *vstate); +static void cmrg_set (void *state, unsigned long int s); + +static const long int m1 = 2147483647, m2 = 2145483479; + +static const long int a2 = 63308, qa2 = 33921, ra2 = 12979; +static const long int a3 = -183326, qa3 = 11714, ra3 = 2883; +static const long int b1 = 86098, qb1 = 24919, rb1 = 7417; +static const long int b3 = -539608, qb3 = 3976, rb3 = 2071; + +typedef struct + { + long int x1, x2, x3; /* first component */ + long int y1, y2, y3; /* second component */ + } +cmrg_state_t; + +static inline unsigned long int +cmrg_get (void *vstate) +{ + cmrg_state_t *state = (cmrg_state_t *) vstate; + + /* Component 1 */ + + { + long int h3 = state->x3 / qa3; + long int p3 = -a3 * (state->x3 - h3 * qa3) - h3 * ra3; + + long int h2 = state->x2 / qa2; + long int p2 = a2 * (state->x2 - h2 * qa2) - h2 * ra2; + + if (p3 < 0) + p3 += m1; + if (p2 < 0) + p2 += m1; + + state->x3 = state->x2; + state->x2 = state->x1; + state->x1 = p2 - p3; + if (state->x1 < 0) + state->x1 += m1; + } + + /* Component 2 */ + + { + long int h3 = state->y3 / qb3; + long int p3 = -b3 * (state->y3 - h3 * qb3) - h3 * rb3; + + long int h1 = state->y1 / qb1; + long int p1 = b1 * (state->y1 - h1 * qb1) - h1 * rb1; + + if (p3 < 0) + p3 += m2; + if (p1 < 0) + p1 += m2; + + state->y3 = state->y2; + state->y2 = state->y1; + state->y1 = p1 - p3; + if (state->y1 < 0) + state->y1 += m2; + } + + if (state->x1 < state->y1) + return (state->x1 - state->y1 + m1); + else + return (state->x1 - state->y1); +} + +static double +cmrg_get_double (void *vstate) +{ + return cmrg_get (vstate) / 2147483647.0 ; +} + + +static void +cmrg_set (void *vstate, unsigned long int s) +{ + /* An entirely adhoc way of seeding! This does **not** come from + L'Ecuyer et al */ + + cmrg_state_t *state = (cmrg_state_t *) vstate; + + if (s == 0) + s = 1; /* default seed is 1 */ + +#define LCG(n) ((69069 * n) & 0xffffffffUL) + s = LCG (s); + state->x1 = s % m1; + s = LCG (s); + state->x2 = s % m1; + s = LCG (s); + state->x3 = s % m1; + + s = LCG (s); + state->y1 = s % m2; + s = LCG (s); + state->y2 = s % m2; + s = LCG (s); + state->y3 = s % m2; + + /* "warm it up" */ + cmrg_get (state); + cmrg_get (state); + cmrg_get (state); + cmrg_get (state); + cmrg_get (state); + cmrg_get (state); + cmrg_get (state); +} + +static const gsl_rng_type cmrg_type = +{"cmrg", /* name */ + 2147483646, /* RAND_MAX */ + 0, /* RAND_MIN */ + sizeof (cmrg_state_t), + &cmrg_set, + &cmrg_get, + &cmrg_get_double}; + +const gsl_rng_type *gsl_rng_cmrg = &cmrg_type; |