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4 files changed, 373 insertions, 0 deletions

diff --git a/Makefile b/Makefile
new file mode 100644
index 0000000..6477798
--- /dev/null
+++ b/Makefile
@@ -0,0 +1,10 @@
+CXX=g++
+CC=gcc
+RM = rm
+CXXFLAGS=-O3
+
+test: test.o mt19937.o
+	$(CXX) $^ -o $@
+
+clean:
+	-$(RM) -f *.o test
diff --git a/mt19937.c b/mt19937.c
new file mode 100644
index 0000000..94fccad
--- /dev/null
+++ b/mt19937.c
@@ -0,0 +1,229 @@
+/* 
+   A C-program for MT19937, with initialization improved 2002/2/10.
+   Coded by Takuji Nishimura and Makoto Matsumoto.
+   This is a faster version by taking Shawn Cokus's optimization,
+   Matthe Bellew's simplification, Isaku Wada's real version.
+
+   Before using, initialize the state by using init_genrand(seed) 
+   or init_by_array(init_key, key_length).
+
+   Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura,
+   All rights reserved.                          
+
+   Redistribution and use in source and binary forms, with or without
+   modification, are permitted provided that the following conditions
+   are met:
+
+     1. Redistributions of source code must retain the above copyright
+        notice, this list of conditions and the following disclaimer.
+
+     2. Redistributions in binary form must reproduce the above copyright
+        notice, this list of conditions and the following disclaimer in the
+        documentation and/or other materials provided with the distribution.
+
+     3. The names of its contributors may not be used to endorse or promote 
+        products derived from this software without specific prior written 
+        permission.
+
+   THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+   "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+   LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+   A PARTICULAR PURPOSE ARE DISCLAIMED.  IN NO EVENT SHALL THE COPYRIGHT OWNER OR
+   CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
+   EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
+   PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
+   PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
+   LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
+   NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+   SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+
+   Any feedback is very welcome.
+   http://www.math.keio.ac.jp/matumoto/emt.html
+   email: matumoto@math.keio.ac.jp
+*/
+
+#include "mt19937.h"
+
+/* Period parameters */  
+#define N 624
+#define M 397
+#define MATRIX_A 0x9908b0dfUL   /* constant vector a */
+#define UMASK 0x80000000UL /* most significant w-r bits */
+#define LMASK 0x7fffffffUL /* least significant r bits */
+#define MIXBITS(u,v) ( ((u) & UMASK) | ((v) & LMASK) )
+#define TWIST(u,v) ((MIXBITS(u,v) >> 1) ^ ((v)&1UL ? MATRIX_A : 0UL))
+
+static unsigned long state[N]; /* the array for the state vector  */
+static int left = 1;
+static int initf = 0;
+static unsigned long *next;
+
+/* initializes state[N] with a seed */
+void init_genrand(unsigned long s)
+{
+    int j;
+    state[0]= s & 0xffffffffUL;
+    for (j=1; j<N; j++) {
+        state[j] = (1812433253UL * (state[j-1] ^ (state[j-1] >> 30)) + j); 
+        /* See Knuth TAOCP Vol2. 3rd Ed. P.106 for multiplier. */
+        /* In the previous versions, MSBs of the seed affect   */
+        /* only MSBs of the array state[].                        */
+        /* 2002/01/09 modified by Makoto Matsumoto             */
+        state[j] &= 0xffffffffUL;  /* for >32 bit machines */
+    }
+    left = 1; initf = 1;
+}
+
+/* initialize by an array with array-length */
+/* init_key is the array for initializing keys */
+/* key_length is its length */
+void init_by_array(unsigned long init_key[], unsigned long key_length)
+{
+    unsigned int i, j, k;
+    init_genrand(19650218UL);
+    i=1; j=0;
+    k = (N>key_length ? N : key_length);
+    for (; k; k--) {
+        state[i] = (state[i] ^ ((state[i-1] ^ (state[i-1] >> 30)) * 1664525UL))
+          + init_key[j] + j; /* non linear */
+        state[i] &= 0xffffffffUL; /* for WORDSIZE > 32 machines */
+        i++; j++;
+        if (i>=N) { state[0] = state[N-1]; i=1; }
+        if (j>=key_length) j=0;
+    }
+    for (k=N-1; k; k--) {
+        state[i] = (state[i] ^ ((state[i-1] ^ (state[i-1] >> 30)) * 1566083941UL))
+          - i; /* non linear */
+        state[i] &= 0xffffffffUL; /* for WORDSIZE > 32 machines */
+        i++;
+        if (i>=N) { state[0] = state[N-1]; i=1; }
+    }
+
+    state[0] = 0x80000000UL; /* MSB is 1; assuring non-zero initial array */ 
+    left = 1; initf = 1;
+}
+
+static void next_state(void)
+{
+    unsigned long *p=state;
+    int j;
+
+    /* if init_genrand() has not been called, */
+    /* a default initial seed is used         */
+    if (initf==0) init_genrand(5489UL);
+
+    left = N;
+    next = state;
+    
+    for (j=N-M+1; --j; p++) 
+        *p = p[M] ^ TWIST(p[0], p[1]);
+
+    for (j=M; --j; p++) 
+        *p = p[M-N] ^ TWIST(p[0], p[1]);
+
+    *p = p[M-N] ^ TWIST(p[0], state[0]);
+}
+
+/* generates a random number on [0,0xffffffff]-interval */
+unsigned long genrand_int32(void)
+{
+    unsigned long y;
+
+    if (--left == 0) next_state();
+    y = *next++;
+
+    /* Tempering */
+    y ^= (y >> 11);
+    y ^= (y << 7) & 0x9d2c5680UL;
+    y ^= (y << 15) & 0xefc60000UL;
+    y ^= (y >> 18);
+
+    return y;
+}
+
+/* generates a random number on [0,0x7fffffff]-interval */
+long genrand_int31(void)
+{
+    unsigned long y;
+
+    if (--left == 0) next_state();
+    y = *next++;
+
+    /* Tempering */
+    y ^= (y >> 11);
+    y ^= (y << 7) & 0x9d2c5680UL;
+    y ^= (y << 15) & 0xefc60000UL;
+    y ^= (y >> 18);
+
+    return (long)(y>>1);
+}
+
+/* generates a random number on [0,1]-real-interval */
+double genrand_real1(void)
+{
+    unsigned long y;
+
+    if (--left == 0) next_state();
+    y = *next++;
+
+    /* Tempering */
+    y ^= (y >> 11);
+    y ^= (y << 7) & 0x9d2c5680UL;
+    y ^= (y << 15) & 0xefc60000UL;
+    y ^= (y >> 18);
+
+    return (double)y * (1.0/4294967295.0); 
+    /* divided by 2^32-1 */ 
+}
+
+/* generates a random number on [0,1)-real-interval */
+double genrand_real2(void)
+{
+    unsigned long y;
+
+    if (--left == 0) next_state();
+    y = *next++;
+
+    /* Tempering */
+    y ^= (y >> 11);
+    y ^= (y << 7) & 0x9d2c5680UL;
+    y ^= (y << 15) & 0xefc60000UL;
+    y ^= (y >> 18);
+
+    return (double)y * (1.0/4294967296.0); 
+    /* divided by 2^32 */
+}
+
+/* generates a random number on (0,1)-real-interval */
+double genrand_real3(void)
+{
+    unsigned long y;
+
+    if (--left == 0) next_state();
+    y = *next++;
+
+    /* Tempering */
+    y ^= (y >> 11);
+    y ^= (y << 7) & 0x9d2c5680UL;
+    y ^= (y << 15) & 0xefc60000UL;
+    y ^= (y >> 18);
+
+    return ((double)y + 0.5) * (1.0/4294967296.0); 
+    /* divided by 2^32 */
+}
+
+/* generates a random number on (0,1]-real-interval */
+double genrand_real4(void)
+{
+    return 1.-genrand_real2(); 
+}
+
+/* generates a random number on [0,1) with 53-bit resolution*/
+double genrand_res53(void) 
+{ 
+    unsigned long a=genrand_int32()>>5, b=genrand_int32()>>6; 
+    return(a*67108864.0+b)*(1.0/9007199254740992.0); 
+} 
+/* These real versions are due to Isaku Wada, 2002/01/09 added */
+
diff --git a/mt19937.h b/mt19937.h
new file mode 100644
index 0000000..6291cda
--- /dev/null
+++ b/mt19937.h
@@ -0,0 +1,23 @@
+void init_genrand(unsigned long s);
+
+/* generates a random number on [0,0xffffffff]-interval */
+unsigned long genrand_int32(void);
+
+/* generates a random number on [0,0x7fffffff]-interval */
+long genrand_int31(void);
+
+/* generates a random number on [0,1]-real-interval */
+double genrand_real1(void);
+
+/* generates a random number on [0,1)-real-interval */
+double genrand_real2(void);
+
+/* generates a random number on (0,1)-real-interval */
+double genrand_real3(void);
+
+/* generates a random number on (0,1]-real-interval */
+double genrand_real4(void);
+
+/* generates a random number on [0,1) with 53-bit resolution*/
+double genrand_res53(void);
+
diff --git a/var_alea.hpp b/var_alea.hpp
new file mode 100644
index 0000000..de37c1d
--- /dev/null
+++ b/var_alea.hpp
@@ -0,0 +1,111 @@
+#ifndef VAR_ALEA_HPP
+#define VAR_ALEA_HPP
+#include <cmath>
+#include "mt19937.h"
+
+void init_alea(unsigned seed = static_cast<unsigned>(std::time(0))) {
+	init_genrand(seed);
+};
+
+template <typename T>
+struct var_alea {
+    typedef T result_type;
+    var_alea() : value(0) {};
+    var_alea(T value) : value(value) {};
+    virtual ~var_alea() {}; 
+    virtual T operator()() = 0;
+    T current() const { return value; };
+    protected: 
+    	T value;
+};
+
+struct uniform : public var_alea<double>
+{
+    uniform(double left = 0, double right = 1)
+        : left(left), size(right-left), genrand(genrand_real3) {};
+    double operator()() {
+        return value = left + size * genrand();
+    };
+    private: 
+        double left, size;
+        double (*genrand)(void);
+};
+
+struct expo : public var_alea<double>
+{
+	expo(double lambda) : inv_lambda(1./lambda), U(0,1) {};
+	double operator()() {
+		return value = - inv_lambda * log(U());
+	};
+	private:
+		double inv_lambda;
+		uniform U;
+};
+
+struct gaussian : public var_alea<double>
+{
+    gaussian(double mean = 0, double std = 1) 
+        : mean(mean), std(std), flag(true), unif(-1,1) {};
+    double operator()() {
+        flag = !flag;
+        if (!flag) {
+            do {
+                U = unif(); V = unif();
+                R2 = U*U + V*V;
+            } while (R2 > 1);
+            rac = sqrt(-2 * log(R2) / R2);
+            return value = mean + std * U * rac;
+        } else
+            return value = mean + std * V * rac;
+    };
+    private: 
+        double mean, std, U, V, R2, rac;
+        uniform unif;
+        bool flag;
+};
+
+struct chi_deux : public var_alea<double>
+{
+	chi_deux(int n) : n(n), G(0,1) {};
+	double operator()() {
+		value = 0;
+		for (int j = 0; j < n; j++) value += G()*G.current(); 
+		return value;
+	};
+	private:
+		int n;
+		gaussian G;
+};
+
+struct inverse_gaussian : public var_alea<double>
+{
+	inverse_gaussian(double lambda, double mu) 
+		: lambda(lambda), mu(mu), Y(1), U(0,1) {};
+	double operator()() {
+		double Z = mu + 0.5*mu*mu/lambda*Y();
+		double rac = sqrt(Z*Z - mu*mu);
+		return value = (U() < mu/(mu+Z+rac)) ? Z+rac : Z-rac; 
+	};
+	private: 
+		double lambda, mu;
+		chi_deux Y;
+		uniform U;
+};
+
+struct normal_inverse_gaussian : public var_alea<double>
+{
+	normal_inverse_gaussian(double alpha, double beta, 
+							double mu, double delta) 
+		: alpha(alpha), beta(beta), mu(mu), delta(delta), G(0,1), 
+		  Y(delta/sqrt(alpha*alpha-beta*beta), delta*delta)  {};
+	double operator()() {
+		double y_ = Y();
+		return value = mu + beta*y_ * sqrt(y_) * G();
+	};
+	private: 
+		double alpha, beta, mu, delta;
+		gaussian G;
+		inverse_gaussian Y;
+};
+
+#endif