1 /*
2 * Licensed to the Apache Software Foundation (ASF) under one or more
3 * contributor license agreements. See the NOTICE file distributed with
4 * this work for additional information regarding copyright ownership.
5 * The ASF licenses this file to You under the Apache License, Version 2.0
6 * (the "License"); you may not use this file except in compliance with
7 * the License. You may obtain a copy of the License at
8 *
9 * http://www.apache.org/licenses/LICENSE-2.0
10 *
11 * Unless required by applicable law or agreed to in writing, software
12 * distributed under the License is distributed on an "AS IS" BASIS,
13 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14 * See the License for the specific language governing permissions and
15 * limitations under the License.
16 */
17 package org.apache.commons.rng.sampling.distribution;
18
19 import org.apache.commons.rng.UniformRandomProvider;
20
21 /**
22 * Sampling from an <a href="http://mathworld.wolfram.com/ExponentialDistribution.html">exponential distribution</a>.
23 *
24 * <p>Sampling uses:</p>
25 *
26 * <ul>
27 * <li>{@link UniformRandomProvider#nextLong()}
28 * <li>{@link UniformRandomProvider#nextDouble()}
29 * </ul>
30 *
31 * @since 1.0
32 */
33 public class AhrensDieterExponentialSampler
34 extends SamplerBase
35 implements SharedStateContinuousSampler {
36 /**
37 * Table containing the constants
38 * \( q_i = sum_{j=1}^i (\ln 2)^j / j! = \ln 2 + (\ln 2)^2 / 2 + ... + (\ln 2)^i / i! \)
39 * until the largest representable fraction below 1 is exceeded.
40 *
41 * Note that
42 * \( 1 = 2 - 1 = \exp(\ln 2) - 1 = sum_{n=1}^\infinity (\ln 2)^n / n! \)
43 * thus \( q_i \rightarrow 1 as i \rightarrow +\infinity \),
44 * so the higher \( i \), the closer we get to 1 (the series is not alternating).
45 *
46 * By trying, n = 16 in Java is enough to reach 1.
47 */
48 private static final double[] EXPONENTIAL_SA_QI = new double[16];
49 /** The mean of this distribution. */
50 private final double mean;
51 /** Underlying source of randomness. */
52 private final UniformRandomProvider rng;
53
54 //
55 // Initialize tables.
56 //
57 static {
58 //
59 // Filling EXPONENTIAL_SA_QI table.
60 // Note that we don't want qi = 0 in the table.
61 //
62 final double ln2 = Math.log(2);
63 double qi = 0;
64
65 // Start with 0!
66 // This will not overflow a long as the length < 21
67 long factorial = 1;
68 for (int i = 0; i < EXPONENTIAL_SA_QI.length; i++) {
69 factorial *= i + 1;
70 qi += Math.pow(ln2, i + 1.0) / factorial;
71 EXPONENTIAL_SA_QI[i] = qi;
72 }
73 }
74
75 /**
76 * Create an instance.
77 *
78 * @param rng Generator of uniformly distributed random numbers.
79 * @param mean Mean of this distribution.
80 * @throws IllegalArgumentException if {@code mean <= 0}
81 */
82 public AhrensDieterExponentialSampler(UniformRandomProvider rng,
83 double mean) {
84 // Validation before java.lang.Object constructor exits prevents partially initialized object
85 this(InternalUtils.requireStrictlyPositive(mean, "mean"), rng);
86 }
87
88 /**
89 * @param mean Mean.
90 * @param rng Generator of uniformly distributed random numbers.
91 */
92 private AhrensDieterExponentialSampler(double mean,
93 UniformRandomProvider rng) {
94 super(null);
95 this.rng = rng;
96 this.mean = mean;
97 }
98
99 /** {@inheritDoc} */
100 @Override
101 public double sample() {
102 // Step 1:
103 double a = 0;
104 // Avoid u=0 which creates an infinite loop
105 double u = InternalUtils.makeNonZeroDouble(rng.nextLong());
106
107 // Step 2 and 3:
108 while (u < 0.5) {
109 a += EXPONENTIAL_SA_QI[0];
110 u *= 2;
111 }
112
113 // Step 4 (now u >= 0.5):
114 u += u - 1;
115
116 // Step 5:
117 if (u <= EXPONENTIAL_SA_QI[0]) {
118 return mean * (a + u);
119 }
120
121 // Step 6:
122 int i = 0; // Should be 1, be we iterate before it in while using 0.
123 double u2 = rng.nextDouble();
124 double umin = u2;
125
126 // Step 7 and 8:
127 do {
128 ++i;
129 u2 = rng.nextDouble();
130
131 if (u2 < umin) {
132 umin = u2;
133 }
134
135 // Step 8:
136 } while (u > EXPONENTIAL_SA_QI[i]); // Ensured to exit since EXPONENTIAL_SA_QI[MAX] = 1.
137
138 return mean * (a + umin * EXPONENTIAL_SA_QI[0]);
139 }
140
141 /** {@inheritDoc} */
142 @Override
143 public String toString() {
144 return "Ahrens-Dieter Exponential deviate [" + rng.toString() + "]";
145 }
146
147 /**
148 * {@inheritDoc}
149 *
150 * @since 1.3
151 */
152 @Override
153 public SharedStateContinuousSampler withUniformRandomProvider(UniformRandomProvider rng) {
154 // Use private constructor without validation
155 return new AhrensDieterExponentialSampler(mean, rng);
156 }
157
158 /**
159 * Create a new exponential distribution sampler.
160 *
161 * @param rng Generator of uniformly distributed random numbers.
162 * @param mean Mean of the distribution.
163 * @return the sampler
164 * @throws IllegalArgumentException if {@code mean <= 0}
165 * @since 1.3
166 */
167 public static SharedStateContinuousSampler of(UniformRandomProvider rng,
168 double mean) {
169 return new AhrensDieterExponentialSampler(rng, mean);
170 }
171 }