From 69ef15f06495b92bd619963eb543cb098bab479c Mon Sep 17 00:00:00 2001
From: Bertrand <bertrand.horel@gmail.com>
Date: Tue, 1 Mar 2016 14:32:31 +0000
Subject: on n'utilise plus rtnorm

---
 src/stratified_sampling.hpp | 38 ++++++++++++++------------------------
 1 file changed, 14 insertions(+), 24 deletions(-)

(limited to 'src/stratified_sampling.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)
-- 
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