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Diffstat (limited to 'gsl-1.9/rng/mrg.c')
-rw-r--r-- | gsl-1.9/rng/mrg.c | 149 |
1 files changed, 149 insertions, 0 deletions
diff --git a/gsl-1.9/rng/mrg.c b/gsl-1.9/rng/mrg.c new file mode 100644 index 0000000..cb44b11 --- /dev/null +++ b/gsl-1.9/rng/mrg.c @@ -0,0 +1,149 @@ +/* rng/mrg.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 fifth-order multiple recursive generator. The sequence is, + + x_n = (a_1 x_{n-1} + a_5 x_{n-5}) mod m + + with a_1 = 107374182, a_2 = a_3 = a_4 = 0, a_5 = 104480 and m = 2^31-1. + + We initialize the generator with x_n = s_n MOD m for n = 1..5, + 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 seeds must lie in the range [0, + 2^31 - 2] with at least one non-zero value -- our seeding procedure + satisfies these constraints. + + We then use 6 iterations of the generator to "warm up" the internal + state. + + With this initialization procedure the theoretical value of + z_{10006} is 2064828650 for s = 1. The subscript 10006 means (1) + seed the generator with s = 1, (2) do the 6 warm-up iterations + that are part of the seeding process, (3) then do 10000 actual + iterations. + + The period of this generator is about 2^155. + + From: P. L'Ecuyer, F. Blouin, and R. Coutre, "A search for good + multiple recursive random number generators", ACM Transactions on + Modeling and Computer Simulation 3, 87-98 (1993). */ + +static inline unsigned long int mrg_get (void *vstate); +static double mrg_get_double (void *vstate); +static void mrg_set (void *state, unsigned long int s); + +static const long int m = 2147483647; +static const long int a1 = 107374182, q1 = 20, r1 = 7; +static const long int a5 = 104480, q5 = 20554, r5 = 1727; + +typedef struct + { + long int x1, x2, x3, x4, x5; + } +mrg_state_t; + +static inline unsigned long int +mrg_get (void *vstate) +{ + mrg_state_t *state = (mrg_state_t *) vstate; + + long int p1, h1, p5, h5; + + h5 = state->x5 / q5; + p5 = a5 * (state->x5 - h5 * q5) - h5 * r5; + if (p5 > 0) + p5 -= m; + + h1 = state->x1 / q1; + p1 = a1 * (state->x1 - h1 * q1) - h1 * r1; + if (p1 < 0) + p1 += m; + + state->x5 = state->x4; + state->x4 = state->x3; + state->x3 = state->x2; + state->x2 = state->x1; + + state->x1 = p1 + p5; + + if (state->x1 < 0) + state->x1 += m; + + return state->x1; +} + +static double +mrg_get_double (void *vstate) +{ + return mrg_get (vstate) / 2147483647.0 ; +} + + +static void +mrg_set (void *vstate, unsigned long int s) +{ + /* An entirely adhoc way of seeding! This does **not** come from + L'Ecuyer et al */ + + mrg_state_t *state = (mrg_state_t *) vstate; + + if (s == 0) + s = 1; /* default seed is 1 */ + +#define LCG(n) ((69069 * n) & 0xffffffffUL) + s = LCG (s); + state->x1 = s % m; + s = LCG (s); + state->x2 = s % m; + s = LCG (s); + state->x3 = s % m; + s = LCG (s); + state->x4 = s % m; + s = LCG (s); + state->x5 = s % m; + + /* "warm it up" with at least 5 calls to go through + all the x values */ + + mrg_get (state); + mrg_get (state); + mrg_get (state); + mrg_get (state); + mrg_get (state); + mrg_get (state); + + return; +} + +static const gsl_rng_type mrg_type = +{"mrg", /* name */ + 2147483646, /* RAND_MAX */ + 0, /* RAND_MIN */ + sizeof (mrg_state_t), + &mrg_set, + &mrg_get, + &mrg_get_double}; + +const gsl_rng_type *gsl_rng_mrg = &mrg_type; |