1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
|
/* randist/gumbel.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_rng.h>
#include <gsl/gsl_randist.h>
/* The Type I Gumbel distribution has the form,
p(x) dx = a b exp(-(b exp(-ax) + ax)) dx
and the Type II Gumbel distribution has the form,
p(x) dx = b a x^-(a+1) exp(-b x^-a)) dx
*/
double
gsl_ran_gumbel1 (const gsl_rng * r, const double a, const double b)
{
double x = gsl_rng_uniform_pos (r);
double z = (log(b) - log(-log(x))) / a;
return z;
}
double
gsl_ran_gumbel1_pdf (const double x, const double a, const double b)
{
double p = a * b * exp (-(b * exp(-a * x) + a * x));
return p;
}
double
gsl_ran_gumbel2 (const gsl_rng * r, const double a, const double b)
{
double x = gsl_rng_uniform_pos (r);
double z = pow(-b / log(x), 1/a);
return z;
}
double
gsl_ran_gumbel2_pdf (const double x, const double a, const double b)
{
if (x <= 0)
{
return 0 ;
}
else
{
double p = b * a * pow(x,-(a+1)) * exp (-b * pow(x, -a));
return p;
}
}
|