diff options
| -rw-r--r-- | Makefile | 7 | ||||
| -rw-r--r-- | src/projet.cpp (renamed from src/main.cpp) | 0 | ||||
| -rw-r--r-- | src/rtnorm.cpp | 238 | ||||
| -rw-r--r-- | src/rtnorm.hpp | 2530 | ||||
| -rw-r--r-- | src/stratified_sampling.hpp | 38 |
5 files changed, 17 insertions, 2796 deletions
@@ -3,6 +3,7 @@ CC=gcc RM = rm CXXFLAGS=-std=c++11 -g -O3 -Wall GSL_FLAGS:=$(shell pkg-config --libs gsl) +NLOPT_FLAGS:=$(shell pkg-config --libs nlopt) VPATH = src:doc all: rapport.pdf @@ -16,13 +17,11 @@ table.tex: make_table make_table: make_table.o mt19937.o $(CXX) $^ -o $@ -main: main.o rtnorm.o stratified_sampling.o mt19937.o var_alea.o opti.o +projet: projet.o stratified_sampling.o mt19937.o var_alea.o opti.o $(CXX) $^ -o $@ $(GSL_FLAGS) $(NLOPT_FLAGS) stratified_sampling.o: stratified_sampling.hpp -main.o: stratified_sampling.o - test: test.o mt19937.o $(CXX) $^ -o $@ @@ -35,5 +34,5 @@ option: option.o mt19937.o p_adic.o var_alea.o .PHONY: clean clean: - -$(RM) -f *.o test stratified_sampling main option make_table + -$(RM) -f *.o test stratified_sampling projet option make_table -latexmk -C rapport.pdf diff --git a/src/main.cpp b/src/projet.cpp index fb6df08..fb6df08 100644 --- a/src/main.cpp +++ b/src/projet.cpp diff --git a/src/rtnorm.cpp b/src/rtnorm.cpp deleted file mode 100644 index 721d243..0000000 --- a/src/rtnorm.cpp +++ /dev/null @@ -1,238 +0,0 @@ -// Pseudorandom numbers from a truncated Gaussian distribution. -// -// This implements an extension of Chopin's algorithm detailed in -// N. Chopin, "Fast simulation of truncated Gaussian distributions", -// Stat Comput (2011) 21:275-288 -// -// Copyright (C) 2012 Guillaume Dollé, Vincent Mazet -// (LSIIT, CNRS/Université de Strasbourg) -// Version 2012-07-04, Contact: vincent.mazet@unistra.fr -// -// 06/07/2012: -// - first launch of rtnorm.cpp -// -// Licence: GNU General Public License Version 2 -// 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, -// see http://www.gnu.org/licenses/old-licenses/gpl-2.0.txt -// -// Depends: LibGSL -// OS: Unix based system - - -#include <cmath> -#include <iostream> -#include <gsl/gsl_rng.h> -#include <gsl/gsl_randist.h> -#include <gsl/gsl_sf_erf.h> - -#include "rtnorm.hpp" - -int N = 4001; // Index of the right tail - -//------------------------------------------------------------ -// Pseudorandom numbers from a truncated Gaussian distribution -// The Gaussian has parameters mu (default 0) and sigma (default 1) -// and is truncated on the interval [a,b]. -// Returns the random variable x and its probability p(x). -std::pair<double, double> rtnorm( - gsl_rng *gen, - double a, - double b, - const double mu, - const double sigma) -{ - // Design variables - double xmin = -2.00443204036; // Left bound - double xmax = 3.48672170399; // Right bound - int kmin = 5; // if kb-ka < kmin then use a rejection algorithm - double INVH = 1631.73284006; // = 1/h, h being the minimal interval range - int I0 = 3271; // = - floor(x(0)/h) - double ALPHA = 1.837877066409345; // = log(2*pi) - int xsize=sizeof(Rtnorm::x)/sizeof(double); // Length of table x - int stop = false; - double sq2 = 7.071067811865475e-1; // = 1/sqrt(2) - double sqpi = 1.772453850905516; // = sqrt(pi) - - double r, z, e, ylk, simy, lbound, u, d, sim, Z, p; - int i, ka, kb, k; - - // Scaling - if(mu!=0 || sigma!=1) - { - a=(a-mu)/sigma; - b=(b-mu)/sigma; - } - - //----------------------------- - - // Check if a < b - if(a>=b) - { - std::cerr<<"*** B must be greater than A ! ***"<<std::endl; - exit(1); - } - - // Check if |a| < |b| - else if(fabs(a)>fabs(b)) - r = -rtnorm(gen,-b,-a).first; // Pair (r,p) - - // If a in the right tail (a > xmax), use rejection algorithm with a truncated exponential proposal - else if(a>xmax) - r = rtexp(gen,a,b); - - // If a in the left tail (a < xmin), use rejection algorithm with a Gaussian proposal - else if(a<xmin) - { - while(!stop) - { - r = gsl_ran_gaussian(gen,1); - stop = (r>=a) && (r<=b); - } - } - - // In other cases (xmin < a < xmax), use Chopin's algorithm - else - { - // Compute ka - i = I0 + floor(a*INVH); - ka = Rtnorm::ncell[i]; - - // Compute kb - (b>=xmax) ? - kb = N : - ( - i = I0 + floor(b*INVH), - kb = Rtnorm::ncell[i] - ); - - // If |b-a| is small, use rejection algorithm with a truncated exponential proposal - if(abs(kb-ka) < kmin) - { - r = rtexp(gen,a,b); - stop = true; - } - - while(!stop) - { - // Sample integer between ka and kb - k = floor(gsl_rng_uniform(gen) * (kb-ka+1)) + ka; - - if(k == N) - { - // Right tail - lbound = Rtnorm::x[xsize-1]; - z = -log(gsl_rng_uniform(gen)); - e = -log(gsl_rng_uniform(gen)); - z = z / lbound; - - if ((pow(z,2) <= 2*e) && (z < b-lbound)) - { - // Accept this proposition, otherwise reject - r = lbound + z; - stop = true; - } - } - - else if ((k <= ka+1) || (k>=kb-1 && b<xmax)) - { - - // Two leftmost and rightmost regions - sim = Rtnorm::x[k] + (Rtnorm::x[k+1]-Rtnorm::x[k]) * gsl_rng_uniform(gen); - - if ((sim >= a) && (sim <= b)) - { - // Accept this proposition, otherwise reject - simy = Rtnorm::yu[k]*gsl_rng_uniform(gen); - if ( (simy<yl(k)) || (sim * sim + 2*log(simy) + ALPHA) < 0 ) - { - r = sim; - stop = true; - } - } - } - - else // All the other boxes - { - u = gsl_rng_uniform(gen); - simy = Rtnorm::yu[k] * u; - d = Rtnorm::x[k+1] - Rtnorm::x[k]; - ylk = yl(k); - if(simy < ylk) // That's what happens most of the time - { - r = Rtnorm::x[k] + u*d*Rtnorm::yu[k]/ylk; - stop = true; - } - else - { - sim = Rtnorm::x[k] + d * gsl_rng_uniform(gen); - - // Otherwise, check you're below the pdf curve - if((sim * sim + 2*log(simy) + ALPHA) < 0) - { - r = sim; - stop = true; - } - } - - } - } - } - - //----------------------------- - - // Scaling - if(mu!=0 || sigma!=1) - r = r*sigma + mu; - - // Compute the probability - Z = sqpi *sq2 * sigma * ( gsl_sf_erf(b*sq2) - gsl_sf_erf(a*sq2) ); - p = exp(-pow((r-mu)/sigma,2)/2) / Z; - - return std::pair<double,double>(r,p); -} - -//------------------------------------------------------------ -// Compute y_l from y_k -double yl(int k) -{ - double yl0 = 0.053513975472; // y_l of the leftmost rectangle - double ylN = 0.000914116389555; // y_l of the rightmost rectangle - - if (k == 0) - return yl0; - - else if(k == N-1) - return ylN; - - else if(k <= 1953) - return Rtnorm::yu[k-1]; - - else - return Rtnorm::yu[k+1]; -} - -//------------------------------------------------------------ -// Rejection algorithm with a truncated exponential proposal -double rtexp(gsl_rng *gen, double a, double b) -{ - int stop = false; - double twoasq = 2*pow(a,2); - double expab = exp(-a*(b-a)) - 1; - double z, e; - - while(!stop) - { - z = log(1 + gsl_rng_uniform(gen)*expab); - e = -log(gsl_rng_uniform(gen)); - stop = (twoasq*e > pow(z,2)); - } - return a - z/a; -} - diff --git a/src/rtnorm.hpp b/src/rtnorm.hpp deleted file mode 100644 index 69cb169..0000000 --- a/src/rtnorm.hpp +++ /dev/null @@ -1,2530 +0,0 @@ -// Pseudorandom numbers from a truncated Gaussian distribution. -// -// This implements an extension of Chopin's algorithm detailed in -// N. Chopin, "Fast simulation of truncated Gaussian distributions", -// Stat Comput (2011) 21:275-288 -// -// Copyright (C) 2012 Guillaume Dollé, Vincent Mazet -// (LSIIT, CNRS/Université de Strasbourg) -// Version 2012-07-04, Contact: vincent.mazet@unistra.fr -// -// 06/07/2012: -// - first launch of rtnorm.cpp -// -// Licence: GNU General Public License Version 2 -// 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, -// see http://www.gnu.org/licenses/old-licenses/gpl-2.0.txt -// -// Depends: LibGSL -// OS: Unix based system - - -#ifndef __RTNORM_HPP -#define __RTNORM_HPP - -#include <gsl/gsl_rng.h> -#include <vector> - - -//------------------------------------------------------------ -// Compute y_l from y_k -double yl(int k); - -//------------------------------------------------------------ -// Rejection algorithm with a truncated exponential proposal -double rtexp(gsl_rng *gen, double a, double b); - - -//------------------------------------------------------------ -// Pseudorandom numbers from a truncated Gaussian distribution -// The Gaussian has parameters mu (default 0) and sigma (default 1) -// and is truncated on the interval [a,b]. -// Returns the random variable x and its probability p(x). -std::pair<double, double> rtnorm ( - gsl_rng *gen, - double a, - double b, - const double mu=0, - const double sigma=1 -); - - -//------------------------------------------------------------ -// Pregenerated tables -namespace Rtnorm{ - -static const double x[4002]= -{ - -2.00443204036, -1.99990455547, -1.99541747213, -1.99096998962, - -1.98656133124, -1.98219074335, -1.97785749442, -1.97356087419, - -1.96930019287, -1.96507478031, -1.96088398528, -1.95672717477, - -1.95260373328, -1.9485130622, -1.94445457918, -1.94042771755, - -1.93643192574, -1.93246666677, -1.92853141772, -1.92462566922, - -1.92074892503, -1.91690070156, -1.91308052741, -1.90928794302, - -1.90552250025, -1.90178376197, -1.89807130174, -1.89438470345, - -1.89072356098, -1.88708747787, -1.88347606705, -1.8798889505, - -1.87632575899, -1.87278613181, -1.86926971649, -1.86577616858, - -1.86230515137, -1.85885633567, -1.8554293996, -1.85202402837, - -1.84863991405, -1.84527675539, -1.84193425762, -1.83861213227, - -1.83531009698, -1.83202787533, -1.82876519668, -1.825521796, - -1.82229741372, -1.81909179558, -1.81590469249, -1.81273586036, - 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1.28368480725, 1.2850817426, 1.28648118658, 1.28788315096, - 1.28928764758, 1.29069468838, 1.29210428538, 1.29351645068, - 1.29493119647, 1.29634853503, 1.29776847873, 1.29919104001, - 1.30061623144, 1.30204406564, 1.30347455533, 1.30490771336, - 1.30634355261, 1.30778208612, 1.30922332698, 1.31066728839, - 1.31211398366, 1.31356342618, 1.31501562944, 1.31647060705, - 1.3179283727, 1.31938894019, 1.32085232344, 1.32231853644, - 1.32378759331, 1.32525950829, 1.32673429568, 1.32821196994, - 1.3296925456, 1.33117603734, 1.33266245992, 1.33415182822, - 1.33564415726, 1.33713946213, 1.33863775808, 1.34013906045, - 1.34164338473, 1.34315074649, 1.34466116145, 1.34617464545, - 1.34769121444, 1.34921088453, 1.35073367192, 1.35225959295, - 1.3537886641, 1.35532090198, 1.35685632332, 1.35839494499, - 1.35993678401, 1.36148185752, 1.3630301828, 1.36458177727, - 1.36613665852, 1.36769484423, 1.36925635228, 1.37082120066, - 1.37238940752, 1.37396099116, 1.37553597004, 1.37711436276, - 1.37869618807, 1.3802814649, 1.38187021232, 1.38346244956, - 1.38505819603, 1.38665747129, 1.38826029505, 1.38986668723, - 1.39147666789, 1.39309025725, 1.39470747574, 1.39632834393, - 1.3979528826, 1.39958111269, 1.40121305532, 1.40284873181, - 1.40448816364, 1.40613137251, 1.40777838029, 1.40942920906, - 1.41108388106, 1.41274241877, 1.41440484485, 1.41607118216, - 1.41774145377, 1.41941568296, 1.42109389321, 1.42277610822, - 1.42446235191, 1.4261526484, 1.42784702206, 1.42954549744, - 1.43124809936, 1.43295485285, 1.43466578316, 1.43638091579, - 1.43810027647, 1.43982389118, 1.44155178613, 1.44328398779, - 1.44502052286, 1.44676141832, 1.44850670139, 1.45025639954, - 1.45201054053, 1.45376915236, 1.4555322633, 1.45729990192, - 1.45907209704, 1.46084887778, 1.46263027351, 1.46441631394, - 1.46620702902, 1.46800244903, 1.46980260454, 1.47160752641, - 1.47341724582, 1.47523179427, 1.47705120356, 1.47887550581, - 1.48070473348, 1.48253891934, 1.48437809651, 1.48622229844, - 1.48807155892, 1.48992591209, 1.49178539245, 1.49365003484, - 1.49551987447, 1.49739494693, 1.49927528818, 1.50116093452, - 1.50305192269, 1.50494828979, 1.5068500733, 1.50875731112, - 1.51067004156, 1.51258830332, 1.51451213554, 1.51644157777, - 1.51837667, 1.52031745264, 1.52226396655, 1.52421625305, - 1.52617435391, 1.52813831134, 1.53010816806, 1.53208396723, - 1.53406575252, 1.53605356807, 1.53804745854, 1.54004746908, - 1.54205364536, 1.54406603357, 1.54608468043, 1.5481096332, - 1.55014093969, 1.55217864825, 1.55422280782, 1.55627346789, - 1.55833067854, 1.56039449044, 1.56246495486, 1.56454212368, - 1.56662604942, 1.56871678519, 1.57081438477, 1.57291890258, - 1.57503039371, 1.57714891392, 1.57927451964, 1.581407268, - 1.58354721686, 1.58569442477, 1.58784895103, 1.59001085565, - 1.59218019943, 1.59435704393, 1.59654145149, 1.59873348523, - 1.60093320909, 1.60314068784, 1.60535598708, 1.60757917325, - 1.60981031368, 1.61204947656, 1.61429673098, 1.61655214696, - 1.61881579544, 1.62108774828, 1.62336807836, 1.62565685948, - 1.62795416649, 1.63026007522, 1.63257466256, 1.63489800643, - 1.63723018585, 1.63957128092, 1.64192137286, 1.64428054402, - 1.64664887792, 1.64902645924, 1.65141337389, 1.65380970898, - 1.65621555288, 1.65863099522, 1.66105612696, 1.66349104035, - 1.665935829, 1.6683905879, 1.67085541345, 1.67333040348, - 1.67581565725, 1.67831127556, 1.68081736069, 1.68333401649, - 1.6858613484, 1.68839946345, 1.69094847035, 1.69350847947, - 1.69607960292, 1.69866195455, 1.70125565, 1.70386080677, - 1.70647754419, 1.70910598353, 1.71174624799, 1.7143984628, - 1.71706275519, 1.71973925449, 1.72242809217, 1.72512940185, - 1.72784331941, 1.73056998298, 1.73330953303, 1.7360621124, - 1.73882786639, 1.74160694276, 1.74439949184, 1.74720566658, - 1.75002562257, 1.75285951816, 1.75570751448, 1.75856977555, - 1.7614464683, 1.7643377627, 1.76724383175, 1.77016485166, - 1.77310100183, 1.77605246501, 1.77901942732, 1.78200207837, - 1.78500061134, 1.78801522309, 1.79104611422, 1.79409348917, - 1.79715755637, 1.80023852827, 1.8033366215, 1.80645205698, - 1.80958506, 1.81273586036, 1.81590469249, 1.81909179558, - 1.82229741372, 1.825521796, 1.82876519668, 1.83202787533, - 1.83531009698, 1.83861213227, 1.84193425762, 1.84527675539, - 1.84863991405, 1.85202402837, 1.8554293996, 1.85885633567, - 1.86230515137, 1.86577616858, 1.86926971649, 1.87278613181, - 1.87632575899, 1.8798889505, 1.88347606705, 1.88708747787, - 1.89072356098, 1.89438470345, 1.89807130174, 1.90178376197, - 1.90552250025, 1.90928794302, 1.91308052741, 1.91690070156, - 1.92074892503, 1.92462566922, 1.92853141772, 1.93246666677, - 1.93643192574, 1.94042771755, 1.94445457918, 1.9485130622, - 1.95260373328, 1.95672717477, 1.96088398528, 1.96507478031, - 1.96930019287, 1.97356087419, 1.97785749442, 1.98219074335, - 1.98656133124, 1.99096998962, 1.99541747213, 1.99990455547, - 2.00443204036, 2.00900075251, 2.01361154371, 2.01826529295, - 2.02296290758, 2.02770532458, 2.03249351185, 2.03732846962, - 2.04221123192, 2.0471428681, 2.05212448451, 2.05715722623, - 2.06224227888, 2.06738087065, 2.07257427429, 2.07782380938, - 2.08313084465, 2.08849680045, 2.09392315145, 2.09941142942, - 2.10496322628, 2.11058019727, 2.11626406445, 2.12201662031, - 2.12783973172, 2.13373534416, 2.13970548619, 2.14575227431, - 2.15187791816, 2.1580847261, 2.16437511125, 2.17075159793, - 2.17721682871, 2.18377357191, 2.19042472984, 2.1971733476, - 2.20402262267, 2.21097591537, 2.21803676019, 2.22520887808, - 2.23249618993, 2.23990283128, 2.24743316835, 2.25509181569, - 2.26288365549, 2.27081385882, 2.27888790909, 2.28711162784, - 2.29549120334, 2.30403322228, 2.31274470495, 2.32163314439, - 2.33070655011, 2.33997349698, 2.34944318006, 2.35912547628, - 2.36903101398, 2.37917125159, 2.3895585669, 2.40020635872, - 2.411129163, 2.422342786, 2.43386445755, 2.44571300825, - 2.45790907518, 2.47047534177, 2.48343681896, 2.49682117646, - 2.51065913523, 2.52498493519, 2.53983689632, 2.55525809634, - 2.57129719532, 2.58800944712, 2.60545795099, 2.62371521493, - 2.64286512889, 2.66300548366, 2.68425122698, 2.7067387311, - 2.73063147325, 2.75612772826, 2.78347119119, 2.81296597401, - 2.84499832124, 2.8800689917, 2.91884323355, 2.9622311235, - 3.0115232357, 3.06863405379, 3.13657337257, 3.22045475765, - 3.32996541598, 3.48672170399 -}; - - -static const double yu[4001] = -{ - 0.0540012735356, 0.0544874991381, 0.054972661389, 0.0554567692269, - 0.0559398314244, 0.0564218565922, 0.0569028531841, 0.0573828295011, - 0.0578617936955, 0.0583397537752, 0.058816717607, 0.059292692921, - 0.0597676873138, 0.060241708252, 0.0607147630756, 0.0611868590013, - 0.0616580031256, 0.0621282024276, 0.0625974637723, 0.0630657939132, - 0.0635331994951, 0.0639996870564, 0.0644652630325, 0.0649299337573, - 0.0653937054663, 0.0658565842984, 0.0663185762986, 0.0667796874201, - 0.0672399235259, 0.0676992903918, 0.0681577937072, 0.0686154390782, - 0.0690722320286, 0.0695281780022, 0.0699832823643, 0.0704375504035, - 0.0708909873334, 0.0713435982942, 0.0717953883543, 0.0722463625114, - 0.0726965256949, 0.0731458827663, 0.0735944385211, 0.0740421976905, - 0.074489164942, 0.0749353448811, 0.0753807420524, 0.0758253609412, - 0.076269205974, 0.0767122815202, 0.0771545918932, 0.077596141351, - 0.0780369340979, 0.0784769742851, 0.078916266012, 0.0793548133268, - 0.0797926202279, 0.0802296906646, 0.080666028538, 0.081101637702, - 0.081536521964, 0.0819706850859, 0.082404130785, 0.0828368627345, - 0.0832688845646, 0.0837001998631, 0.0841308121761, 0.084560725009, - 0.0849899418268, 0.0854184660553, 0.0858463010813, 0.0862734502535, - 0.0866999168832, 0.0871257042449, 0.0875508155769, 0.0879752540816, - 0.0883990229268, 0.0888221252457, 0.0892445641375, 0.0896663426683, - 0.0900874638713, 0.0905079307475, 0.0909277462662, 0.0913469133655, - 0.0917654349529, 0.0921833139053, 0.0926005530704, 0.0930171552661, - 0.0934331232819, 0.0938484598786, 0.0942631677893, 0.0946772497194, - 0.0950907083474, 0.095503546325, 0.0959157662776, 0.0963273708049, - 0.0967383624809, 0.0971487438546, 0.0975585174503, 0.0979676857678, - 0.098376251283, 0.098784216448, 0.0991915836918, 0.0995983554201, - 0.100004534016, 0.100410121841, 0.100815121233, 0.10121953451, - 0.101623363968, 0.102026611881, 0.102429280502, 0.102831372066, - 0.103232888785, 0.103633832853, 0.104034206444, 0.10443401171, - 0.104833250787, 0.105231925791, 0.10563003882, 0.106027591953, - 0.106424587249, 0.106821026753, 0.10721691249, 0.107612246467, - 0.108007030675, 0.108401267088, 0.108794957663, 0.10918810434, - 0.109580709043, 0.109972773679, 0.110364300142, 0.110755290307, - 0.111145746034, 0.111535669171, 0.111925061545, 0.112313924974, - 0.112702261257, 0.113090072181, 0.113477359516, 0.113864125022, - 0.11425037044, 0.1146360975, 0.115021307918, 0.115406003396, - 0.115790185624, 0.116173856276, 0.116557017014, 0.11693966949, - 0.117321815339, 0.117703456185, 0.118084593641, 0.118465229306, - 0.118845364768, 0.1192250016, 0.119604141367, 0.119982785621, - 0.120360935901, 0.120738593735, 0.121115760642, 0.121492438126, - 0.121868627682, 0.122244330795, 0.122619548937, 0.12299428357, - 0.123368536146, 0.123742308106, 0.124115600881, 0.12448841589, - 0.124860754545, 0.125232618245, 0.12560400838, 0.125974926331, - 0.126345373469, 0.126715351154, 0.127084860738, 0.127453903564, - 0.127822480963, 0.128190594259, 0.128558244767, 0.128925433793, - 0.129292162631, 0.129658432571, 0.130024244891, 0.13038960086, - 0.130754501741, 0.131118948787, 0.131482943242, 0.131846486342, - 0.132209579317, 0.132572223385, 0.132934419758, 0.133296169642, - 0.13365747423, 0.134018334713, 0.13437875227, 0.134738728074, - 0.13509826329, 0.135457359075, 0.135816016581, 0.13617423695, - 0.136532021316, 0.13688937081, 0.137246286551, 0.137602769653, - 0.137958821225, 0.138314442365, 0.138669634167, 0.139024397717, - 0.139378734095, 0.139732644373, 0.140086129618, 0.14043919089, - 0.140791829241, 0.141144045718, 0.141495841361, 0.141847217205, - 0.142198174276, 0.142548713597, 0.142898836183, 0.143248543043, - 0.143597835179, 0.14394671359, 0.144295179266, 0.144643233193, - 0.144990876349, 0.14533810971, 0.145684934242, 0.146031350908, - 0.146377360665, 0.146722964463, 0.147068163249, 0.147412957962, - 0.147757349537, 0.148101338903, 0.148444926984, 0.148788114699, - 0.149130902961, 0.149473292678, 0.149815284753, 0.150156880085, - 0.150498079565, 0.150838884082, 0.151179294519, 0.151519311753, - 0.151858936658, 0.152198170101, 0.152537012946, 0.152875466051, - 0.153213530271, 0.153551206454, 0.153888495445, 0.154225398084, - 0.154561915205, 0.15489804764, 0.155233796214, 0.155569161751, - 0.155904145066, 0.156238746972, 0.156572968279, 0.156906809791, - 0.157240272307, 0.157573356623, 0.15790606353, 0.158238393817, - 0.158570348265, 0.158901927654, 0.159233132759, 0.159563964351, - 0.159894423197, 0.160224510058, 0.160554225695, 0.160883570863, - 0.161212546311, 0.161541152788, 0.161869391036, 0.162197261796, - 0.162524765803, 0.162851903789, 0.163178676483, 0.163505084608, - 0.163831128886, 0.164156810034, 0.164482128766, 0.164807085792, - 0.165131681818, 0.165455917548, 0.165779793681, 0.166103310913, - 0.166426469936, 0.16674927144, 0.167071716111, 0.167393804631, - 0.167715537679, 0.16803691593, 0.168357940058, 0.168678610731, - 0.168998928615, 0.169318894373, 0.169638508664, 0.169957772145, - 0.170276685469, 0.170595249286, 0.170913464242, 0.171231330982, - 0.171548850146, 0.171866022373, 0.172182848295, 0.172499328546, - 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0.115406003396, 0.115021307918, 0.1146360975, 0.11425037044, - 0.113864125022, 0.113477359516, 0.113090072181, 0.112702261257, - 0.112313924974, 0.111925061545, 0.111535669171, 0.111145746034, - 0.110755290307, 0.110364300142, 0.109972773679, 0.109580709043, - 0.10918810434, 0.108794957663, 0.108401267088, 0.108007030675, - 0.107612246467, 0.10721691249, 0.106821026753, 0.106424587249, - 0.106027591953, 0.10563003882, 0.105231925791, 0.104833250787, - 0.10443401171, 0.104034206444, 0.103633832853, 0.103232888785, - 0.102831372066, 0.102429280502, 0.102026611881, 0.101623363968, - 0.10121953451, 0.100815121233, 0.100410121841, 0.100004534016, - 0.0995983554201, 0.0991915836918, 0.098784216448, 0.098376251283, - 0.0979676857678, 0.0975585174503, 0.0971487438546, 0.0967383624809, - 0.0963273708049, 0.0959157662776, 0.095503546325, 0.0950907083474, - 0.0946772497194, 0.0942631677893, 0.0938484598786, 0.0934331232819, - 0.0930171552661, 0.0926005530704, 0.0921833139053, 0.0917654349529, - 0.0913469133655, 0.0909277462662, 0.0905079307475, 0.0900874638713, - 0.0896663426683, 0.0892445641375, 0.0888221252457, 0.0883990229268, - 0.0879752540816, 0.0875508155769, 0.0871257042449, 0.0866999168832, - 0.0862734502535, 0.0858463010813, 0.0854184660553, 0.0849899418268, - 0.084560725009, 0.0841308121761, 0.0837001998631, 0.0832688845646, - 0.0828368627345, 0.082404130785, 0.0819706850859, 0.081536521964, - 0.081101637702, 0.080666028538, 0.0802296906646, 0.0797926202279, - 0.0793548133268, 0.078916266012, 0.0784769742851, 0.0780369340979, - 0.077596141351, 0.0771545918932, 0.0767122815202, 0.076269205974, - 0.0758253609412, 0.0753807420524, 0.0749353448811, 0.074489164942, - 0.0740421976905, 0.0735944385211, 0.0731458827663, 0.0726965256949, - 0.0722463625114, 0.0717953883543, 0.0713435982942, 0.0708909873334, - 0.0704375504035, 0.0699832823643, 0.0695281780022, 0.0690722320286, - 0.0686154390782, 0.0681577937072, 0.0676992903918, 0.0672399235259, - 0.0667796874201, 0.0663185762986, 0.0658565842984, 0.0653937054663, - 0.0649299337573, 0.0644652630325, 0.0639996870564, 0.0635331994951, - 0.0630657939132, 0.0625974637723, 0.0621282024276, 0.0616580031256, - 0.0611868590013, 0.0607147630756, 0.060241708252, 0.0597676873138, - 0.059292692921, 0.058816717607, 0.0583397537752, 0.0578617936955, - 0.0573828295011, 0.0569028531841, 0.0564218565922, 0.0559398314244, - 0.0554567692269, 0.054972661389, 0.0544874991381, 0.0540012735356, - 0.053513975472, 0.0530255956613, 0.0525361246366, 0.052045552744, - 0.0515538701374, 0.0510610667724, 0.0505671324, 0.0500720565609, - 0.0495758285778, 0.0490784375496, 0.0485798723434, 0.048080121587, - 0.0475791736615, 0.0470770166928, 0.0465736385427, 0.0460690268006, - 0.0455631687734, 0.0450560514761, 0.0445476616215, 0.0440379856092, - 0.0435270095144, 0.0430147190762, 0.0425010996849, 0.0419861363691, - 0.0414698137822, 0.0409521161875, 0.0404330274434, 0.0399125309876, - 0.0393906098197, 0.0388672464844, 0.0383424230521, 0.0378161210995, - 0.037288321689, 0.0367590053466, 0.0362281520387, 0.0356957411476, - 0.0351617514458, 0.034626161068, 0.0340889474822, 0.0335500874589, - 0.033009557038, 0.032467331494, 0.0319233852988, 0.0313776920821, - 0.0308302245895, 0.0302809546372, 0.0297298530646, 0.0291768896823, - 0.0286220332182, 0.0280652512583, 0.0275065101844, 0.0269457751062, - 0.02638300979, 0.0258181765805, 0.0252512363179, 0.0246821482486, - 0.0241108699283, 0.0235373571186, 0.0229615636755, 0.0223834414285, - 0.0218029400512, 0.0212200069209, 0.0206345869682, 0.0200466225144, - 0.0194560530967, 0.0188628152806, 0.0182668424588, 0.0176680646372, - 0.0170664082066, 0.016461795704, 0.0158541455627, 0.015243371858, - 0.0146293840521, 0.0140120867521, 0.0133913794939, 0.0127671565806, - 0.0121393070128, 0.0115077145716, 0.0108722581496, 0.0102328124764, - 0.00958924947315, 0.00894144061242, 0.00828926090091, 0.00763259551896, - 0.00697135089651, 0.00630547338383, 0.00563498133279, 0.00496002177703, - 0.00428097439553, 0.00359865177269, 0.00291471045349, 0.00223256762114, - 0.00155968193081 -}; - - -static const int ncell[8961] = -{ - 0, 0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, - 2, 2, 2, 3, 3, 3, 3, 3, 3, 3, 4, 4, 4, 4, 4, 4, 4, 5, 5, 5, - 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7, 7, 8, 8, - 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9, 9, 10, 10, 10, 10, 10, 10, 10, 11, - 11, 11, 11, 11, 11, 12, 12, 12, 12, 12, 12, 12, 13, 13, 13, 13, 13, 13, 13, 14, - 14, 14, 14, 14, 14, 15, 15, 15, 15, 15, 15, 15, 16, 16, 16, 16, 16, 16, 17, 17, - 17, 17, 17, 17, 17, 18, 18, 18, 18, 18, 18, 19, 19, 19, 19, 19, 19, 20, 20, 20, - 20, 20, 20, 20, 21, 21, 21, 21, 21, 21, 22, 22, 22, 22, 22, 22, 23, 23, 23, 23, - 23, 23, 24, 24, 24, 24, 24, 24, 25, 25, 25, 25, 25, 25, 26, 26, 26, 26, 26, 26, - 27, 27, 27, 27, 27, 27, 28, 28, 28, 28, 28, 28, 29, 29, 29, 29, 29, 29, 30, 30, - 30, 30, 30, 30, 31, 31, 31, 31, 31, 31, 32, 32, 32, 32, 32, 32, 33, 33, 33, 33, - 33, 34, 34, 34, 34, 34, 34, 35, 35, 35, 35, 35, 35, 36, 36, 36, 36, 36, 37, 37, - 37, 37, 37, 37, 38, 38, 38, 38, 38, 39, 39, 39, 39, 39, 39, 40, 40, 40, 40, 40, - 40, 41, 41, 41, 41, 41, 42, 42, 42, 42, 42, 43, 43, 43, 43, 43, 43, 44, 44, 44, - 44, 44, 45, 45, 45, 45, 45, 46, 46, 46, 46, 46, 46, 47, 47, 47, 47, 47, 48, 48, - 48, 48, 48, 49, 49, 49, 49, 49, 50, 50, 50, 50, 50, 50, 51, 51, 51, 51, 51, 52, - 52, 52, 52, 52, 53, 53, 53, 53, 53, 54, 54, 54, 54, 54, 55, 55, 55, 55, 55, 56, - 56, 56, 56, 56, 57, 57, 57, 57, 57, 58, 58, 58, 58, 58, 59, 59, 59, 59, 59, 60, - 60, 60, 60, 60, 61, 61, 61, 61, 61, 62, 62, 62, 62, 63, 63, 63, 63, 63, 64, 64, - 64, 64, 64, 65, 65, 65, 65, 65, 66, 66, 66, 66, 66, 67, 67, 67, 67, 68, 68, 68, - 68, 68, 69, 69, 69, 69, 69, 70, 70, 70, 70, 71, 71, 71, 71, 71, 72, 72, 72, 72, - 72, 73, 73, 73, 73, 74, 74, 74, 74, 74, 75, 75, 75, 75, 76, 76, 76, 76, 76, 77, - 77, 77, 77, 78, 78, 78, 78, 78, 79, 79, 79, 79, 80, 80, 80, 80, 80, 81, 81, 81, - 81, 82, 82, 82, 82, 83, 83, 83, 83, 83, 84, 84, 84, 84, 85, 85, 85, 85, 86, 86, - 86, 86, 86, 87, 87, 87, 87, 88, 88, 88, 88, 89, 89, 89, 89, 89, 90, 90, 90, 90, - 91, 91, 91, 91, 92, 92, 92, 92, 93, 93, 93, 93, 94, 94, 94, 94, 95, 95, 95, 95, - 95, 96, 96, 96, 96, 97, 97, 97, 97, 98, 98, 98, 98, 99, 99, 99, 99, 100, 100, 100, - 100, 101, 101, 101, 101, 102, 102, 102, 102, 103, 103, 103, 103, 104, 104, 104, 104, 105, 105, 105, - 105, 106, 106, 106, 106, 107, 107, 107, 107, 108, 108, 108, 108, 109, 109, 109, 109, 110, 110, 110, - 110, 111, 111, 111, 111, 112, 112, 112, 113, 113, 113, 113, 114, 114, 114, 114, 115, 115, 115, 115, - 116, 116, 116, 116, 117, 117, 117, 117, 118, 118, 118, 119, 119, 119, 119, 120, 120, 120, 120, 121, - 121, 121, 121, 122, 122, 122, 123, 123, 123, 123, 124, 124, 124, 124, 125, 125, 125, 126, 126, 126, - 126, 127, 127, 127, 127, 128, 128, 128, 129, 129, 129, 129, 130, 130, 130, 130, 131, 131, 131, 132, - 132, 132, 132, 133, 133, 133, 134, 134, 134, 134, 135, 135, 135, 136, 136, 136, 136, 137, 137, 137, - 137, 138, 138, 138, 139, 139, 139, 139, 140, 140, 140, 141, 141, 141, 141, 142, 142, 142, 143, 143, - 143, 144, 144, 144, 144, 145, 145, 145, 146, 146, 146, 146, 147, 147, 147, 148, 148, 148, 148, 149, - 149, 149, 150, 150, 150, 151, 151, 151, 151, 152, 152, 152, 153, 153, 153, 154, 154, 154, 154, 155, - 155, 155, 156, 156, 156, 157, 157, 157, 157, 158, 158, 158, 159, 159, 159, 160, 160, 160, 160, 161, - 161, 161, 162, 162, 162, 163, 163, 163, 164, 164, 164, 164, 165, 165, 165, 166, 166, 166, 167, 167, - 167, 168, 168, 168, 169, 169, 169, 169, 170, 170, 170, 171, 171, 171, 172, 172, 172, 173, 173, 173, - 174, 174, 174, 175, 175, 175, 176, 176, 176, 176, 177, 177, 177, 178, 178, 178, 179, 179, 179, 180, - 180, 180, 181, 181, 181, 182, 182, 182, 183, 183, 183, 184, 184, 184, 185, 185, 185, 186, 186, 186, - 187, 187, 187, 188, 188, 188, 189, 189, 189, 190, 190, 190, 191, 191, 191, 192, 192, 192, 193, 193, - 193, 194, 194, 194, 195, 195, 195, 196, 196, 196, 197, 197, 197, 198, 198, 198, 199, 199, 199, 200, - 200, 200, 201, 201, 201, 202, 202, 202, 203, 203, 203, 204, 204, 204, 205, 205, 206, 206, 206, 207, - 207, 207, 208, 208, 208, 209, 209, 209, 210, 210, 210, 211, 211, 211, 212, 212, 213, 213, 213, 214, - 214, 214, 215, 215, 215, 216, 216, 216, 217, 217, 217, 218, 218, 219, 219, 219, 220, 220, 220, 221, - 221, 221, 222, 222, 223, 223, 223, 224, 224, 224, 225, 225, 225, 226, 226, 227, 227, 227, 228, 228, - 228, 229, 229, 229, 230, 230, 231, 231, 231, 232, 232, 232, 233, 233, 234, 234, 234, 235, 235, 235, - 236, 236, 237, 237, 237, 238, 238, 238, 239, 239, 240, 240, 240, 241, 241, 241, 242, 242, 243, 243, - 243, 244, 244, 244, 245, 245, 246, 246, 246, 247, 247, 248, 248, 248, 249, 249, 249, 250, 250, 251, - 251, 251, 252, 252, 253, 253, 253, 254, 254, 254, 255, 255, 256, 256, 256, 257, 257, 258, 258, 258, - 259, 259, 260, 260, 260, 261, 261, 262, 262, 262, 263, 263, 264, 264, 264, 265, 265, 266, 266, 266, - 267, 267, 268, 268, 268, 269, 269, 270, 270, 270, 271, 271, 272, 272, 272, 273, 273, 274, 274, 274, - 275, 275, 276, 276, 276, 277, 277, 278, 278, 278, 279, 279, 280, 280, 280, 281, 281, 282, 282, 283, - 283, 283, 284, 284, 285, 285, 285, 286, 286, 287, 287, 288, 288, 288, 289, 289, 290, 290, 290, 291, - 291, 292, 292, 293, 293, 293, 294, 294, 295, 295, 296, 296, 296, 297, 297, 298, 298, 298, 299, 299, - 300, 300, 301, 301, 301, 302, 302, 303, 303, 304, 304, 304, 305, 305, 306, 306, 307, 307, 307, 308, - 308, 309, 309, 310, 310, 311, 311, 311, 312, 312, 313, 313, 314, 314, 314, 315, 315, 316, 316, 317, - 317, 318, 318, 318, 319, 319, 320, 320, 321, 321, 322, 322, 322, 323, 323, 324, 324, 325, 325, 326, - 326, 326, 327, 327, 328, 328, 329, 329, 330, 330, 330, 331, 331, 332, 332, 333, 333, 334, 334, 335, - 335, 335, 336, 336, 337, 337, 338, 338, 339, 339, 340, 340, 340, 341, 341, 342, 342, 343, 343, 344, - 344, 345, 345, 346, 346, 346, 347, 347, 348, 348, 349, 349, 350, 350, 351, 351, 352, 352, 353, 353, - 353, 354, 354, 355, 355, 356, 356, 357, 357, 358, 358, 359, 359, 360, 360, 361, 361, 361, 362, 362, - 363, 363, 364, 364, 365, 365, 366, 366, 367, 367, 368, 368, 369, 369, 370, 370, 371, 371, 371, 372, - 372, 373, 373, 374, 374, 375, 375, 376, 376, 377, 377, 378, 378, 379, 379, 380, 380, 381, 381, 382, - 382, 383, 383, 384, 384, 385, 385, 386, 386, 387, 387, 388, 388, 389, 389, 390, 390, 391, 391, 392, - 392, 393, 393, 394, 394, 395, 395, 396, 396, 397, 397, 398, 398, 399, 399, 400, 400, 401, 401, 402, - 402, 403, 403, 404, 404, 405, 405, 406, 406, 407, 407, 408, 408, 409, 409, 410, 410, 411, 411, 412, - 412, 413, 413, 414, 414, 415, 415, 416, 416, 417, 417, 418, 418, 419, 419, 420, 420, 421, 421, 422, - 423, 423, 424, 424, 425, 425, 426, 426, 427, 427, 428, 428, 429, 429, 430, 430, 431, 431, 432, 432, - 433, 433, 434, 435, 435, 436, 436, 437, 437, 438, 438, 439, 439, 440, 440, 441, 441, 442, 442, 443, - 444, 444, 445, 445, 446, 446, 447, 447, 448, 448, 449, 449, 450, 450, 451, 452, 452, 453, 453, 454, - 454, 455, 455, 456, 456, 457, 458, 458, 459, 459, 460, 460, 461, 461, 462, 462, 463, 464, 464, 465, - 465, 466, 466, 467, 467, 468, 468, 469, 470, 470, 471, 471, 472, 472, 473, 473, 474, 475, 475, 476, - 476, 477, 477, 478, 478, 479, 480, 480, 481, 481, 482, 482, 483, 483, 484, 485, 485, 486, 486, 487, - 487, 488, 488, 489, 490, 490, 491, 491, 492, 492, 493, 494, 494, 495, 495, 496, 496, 497, 498, 498, - 499, 499, 500, 500, 501, 502, 502, 503, 503, 504, 504, 505, 506, 506, 507, 507, 508, 508, 509, 510, - 510, 511, 511, 512, 512, 513, 514, 514, 515, 515, 516, 517, 517, 518, 518, 519, 519, 520, 521, 521, - 522, 522, 523, 524, 524, 525, 525, 526, 526, 527, 528, 528, 529, 529, 530, 531, 531, 532, 532, 533, - 534, 534, 535, 535, 536, 537, 537, 538, 538, 539, 539, 540, 541, 541, 542, 542, 543, 544, 544, 545, - 545, 546, 547, 547, 548, 548, 549, 550, 550, 551, 551, 552, 553, 553, 554, 555, 555, 556, 556, 557, - 558, 558, 559, 559, 560, 561, 561, 562, 562, 563, 564, 564, 565, 565, 566, 567, 567, 568, 569, 569, - 570, 570, 571, 572, 572, 573, 573, 574, 575, 575, 576, 577, 577, 578, 578, 579, 580, 580, 581, 582, - 582, 583, 583, 584, 585, 585, 586, 586, 587, 588, 588, 589, 590, 590, 591, 591, 592, 593, 593, 594, - 595, 595, 596, 597, 597, 598, 598, 599, 600, 600, 601, 602, 602, 603, 603, 604, 605, 605, 606, 607, - 607, 608, 609, 609, 610, 610, 611, 612, 612, 613, 614, 614, 615, 616, 616, 617, 618, 618, 619, 619, - 620, 621, 621, 622, 623, 623, 624, 625, 625, 626, 627, 627, 628, 629, 629, 630, 630, 631, 632, 632, - 633, 634, 634, 635, 636, 636, 637, 638, 638, 639, 640, 640, 641, 642, 642, 643, 644, 644, 645, 646, - 646, 647, 647, 648, 649, 649, 650, 651, 651, 652, 653, 653, 654, 655, 655, 656, 657, 657, 658, 659, - 659, 660, 661, 661, 662, 663, 663, 664, 665, 665, 666, 667, 667, 668, 669, 669, 670, 671, 671, 672, - 673, 674, 674, 675, 676, 676, 677, 678, 678, 679, 680, 680, 681, 682, 682, 683, 684, 684, 685, 686, - 686, 687, 688, 688, 689, 690, 690, 691, 692, 693, 693, 694, 695, 695, 696, 697, 697, 698, 699, 699, - 700, 701, 701, 702, 703, 704, 704, 705, 706, 706, 707, 708, 708, 709, 710, 710, 711, 712, 713, 713, - 714, 715, 715, 716, 717, 717, 718, 719, 719, 720, 721, 722, 722, 723, 724, 724, 725, 726, 726, 727, - 728, 729, 729, 730, 731, 731, 732, 733, 734, 734, 735, 736, 736, 737, 738, 738, 739, 740, 741, 741, - 742, 743, 743, 744, 745, 746, 746, 747, 748, 748, 749, 750, 751, 751, 752, 753, 753, 754, 755, 756, - 756, 757, 758, 758, 759, 760, 761, 761, 762, 763, 763, 764, 765, 766, 766, 767, 768, 769, 769, 770, - 771, 771, 772, 773, 774, 774, 775, 776, 777, 777, 778, 779, 779, 780, 781, 782, 782, 783, 784, 785, - 785, 786, 787, 787, 788, 789, 790, 790, 791, 792, 793, 793, 794, 795, 796, 796, 797, 798, 798, 799, - 800, 801, 801, 802, 803, 804, 804, 805, 806, 807, 807, 808, 809, 810, 810, 811, 812, 813, 813, 814, - 815, 816, 816, 817, 818, 819, 819, 820, 821, 822, 822, 823, 824, 825, 825, 826, 827, 828, 828, 829, - 830, 831, 831, 832, 833, 834, 834, 835, 836, 837, 837, 838, 839, 840, 840, 841, 842, 843, 843, 844, - 845, 846, 846, 847, 848, 849, 849, 850, 851, 852, 853, 853, 854, 855, 856, 856, 857, 858, 859, 859, - 860, 861, 862, 862, 863, 864, 865, 866, 866, 867, 868, 869, 869, 870, 871, 872, 872, 873, 874, 875, - 876, 876, 877, 878, 879, 879, 880, 881, 882, 883, 883, 884, 885, 886, 886, 887, 888, 889, 890, 890, - 891, 892, 893, 893, 894, 895, 896, 897, 897, 898, 899, 900, 900, 901, 902, 903, 904, 904, 905, 906, - 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4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, 4000, - 4000 -}; - -} //namespace end - -#endif //__RTNORM_HPP diff --git a/src/stratified_sampling.hpp b/src/stratified_sampling.hpp index c04369e..9099e38 100644 --- a/src/stratified_sampling.hpp +++ b/src/stratified_sampling.hpp @@ -1,42 +1,32 @@ #include <vector> #include <algorithm> #include <iostream> -#include <gsl/gsl_rng.h> -#include "rtnorm.hpp" #include "var_alea.hpp" #include <gsl/gsl_cdf.h> #include "option.hpp" using namespace std; +vector<double> quantile_norm(int n, double sigma); -typedef var_alea<double> var_alea_real; -struct gaussian_truncated : public var_alea_real +struct gaussian_truncated : var_alea<double> { - gaussian_truncated(double a, double b, double mean=0, double sigma2=1, int seed=0) - :a(a), b(b), mean(mean), sigma2(sigma2), seed(seed) { - const gsl_rng_type* type = gsl_rng_default; - gen = gsl_rng_alloc(type); - gsl_rng_set(gen, seed); - }; - gaussian_truncated(gaussian_truncated const &other) - :a(other.a),b(other.b), mean(other.mean),sigma2(other.sigma2){ - gen = gsl_rng_clone(other.gen); - }; - + gaussian_truncated(double a, double b, double mu = 0, double sigma = 1) + :a(a), b(b), V(gsl_cdf_ugaussian_P(a), gsl_cdf_ugaussian_P(b)), mu(mu), sigma(sigma) {}; + double operator()() { - pair<double, double> p = rtnorm(gen, a, b, mean, sigma2); - return value = p.first; + double v = V(); + return mu + gsl_cdf_gaussian_Pinv(v,sigma); + } + + private: + double a, b; + uniform V; + double mu; + double sigma; }; - ~gaussian_truncated() { gsl_rng_free(gen); } -private: - double a, b, mean, sigma2; - int seed; - gsl_rng *gen; -}; - struct multi_gaussian_truncated : public var_alea<std::vector<double> > { multi_gaussian_truncated(double a, double b, const std::vector<double> u) |