NormalDistribution.hpp

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/***
 *    Generates normally distributed numbers. Based on GSL implementation.
 *
 *        Created:  2018-08-04
 *         Author:  Dilawar Singh <dilawars@ncbs.res.in>
 *   Organization:  NCBS Bangalore
 *        License:  GNU GPL3
 */

#ifndef NORMALDISTRIBUTION_H
#define NORMALDISTRIBUTION_H

#include "Definitions.h"

/* position of right-most step */
#define PARAM_R 3.44428647676

namespace moose {
namespace details {

/* tabulated values for the heigt of the Ziggurat levels */
static const double ytab[128] =
{
    1, 0.963598623011, 0.936280813353, 0.913041104253,
    0.892278506696, 0.873239356919, 0.855496407634, 0.838778928349,
    0.822902083699, 0.807732738234, 0.793171045519, 0.779139726505,
    0.765577436082, 0.752434456248, 0.739669787677, 0.727249120285,
    0.715143377413, 0.703327646455, 0.691780377035, 0.68048276891,
    0.669418297233, 0.65857233912, 0.647931876189, 0.637485254896,
    0.62722199145, 0.617132611532, 0.607208517467, 0.597441877296,
    0.587825531465, 0.578352913803, 0.569017984198, 0.559815170911,
    0.550739320877, 0.541785656682, 0.532949739145, 0.524227434628,
    0.515614886373, 0.507108489253, 0.498704867478, 0.490400854812,
    0.482193476986, 0.47407993601, 0.466057596125, 0.458123971214,
    0.450276713467, 0.442513603171, 0.434832539473, 0.427231532022,
    0.419708693379, 0.41226223212, 0.404890446548, 0.397591718955,
    0.390364510382, 0.383207355816, 0.376118859788, 0.369097692334,
    0.362142585282, 0.355252328834, 0.348425768415, 0.341661801776,
    0.334959376311, 0.328317486588, 0.321735172063, 0.31521151497,
    0.308745638367, 0.302336704338, 0.29598391232, 0.289686497571,
    0.283443729739, 0.27725491156, 0.271119377649, 0.265036493387,
    0.259005653912, 0.253026283183, 0.247097833139, 0.241219782932,
    0.235391638239, 0.229612930649, 0.223883217122, 0.218202079518,
    0.212569124201, 0.206983981709, 0.201446306496, 0.195955776745,
    0.190512094256, 0.185114984406, 0.179764196185, 0.174459502324,
    0.169200699492, 0.1639876086, 0.158820075195, 0.153697969964,
    0.148621189348, 0.143589656295, 0.138603321143, 0.133662162669,
    0.128766189309, 0.123915440582, 0.119109988745, 0.114349940703,
    0.10963544023, 0.104966670533, 0.100343857232, 0.0957672718266,
    0.0912372357329, 0.0867541250127, 0.082318375932, 0.0779304915295,
    0.0735910494266, 0.0693007111742, 0.065060233529, 0.0608704821745,
    0.056732448584, 0.05264727098, 0.0486162607163, 0.0446409359769,
    0.0407230655415, 0.0368647267386, 0.0330683839378, 0.0293369977411,
    0.0256741818288, 0.0220844372634, 0.0185735200577, 0.0151490552854,
    0.0118216532614, 0.00860719483079, 0.00553245272614, 0.00265435214565
};

/* tabulated values for 2^24 times x[i]/x[i+1],
 * used to accept for U*x[i+1]<=x[i] without any floating point operations */
static const unsigned long ktab[128] =
{
    0, 12590644, 14272653, 14988939,
    15384584, 15635009, 15807561, 15933577,
    16029594, 16105155, 16166147, 16216399,
    16258508, 16294295, 16325078, 16351831,
    16375291, 16396026, 16414479, 16431002,
    16445880, 16459343, 16471578, 16482744,
    16492970, 16502368, 16511031, 16519039,
    16526459, 16533352, 16539769, 16545755,
    16551348, 16556584, 16561493, 16566101,
    16570433, 16574511, 16578353, 16581977,
    16585398, 16588629, 16591685, 16594575,
    16597311, 16599901, 16602354, 16604679,
    16606881, 16608968, 16610945, 16612818,
    16614592, 16616272, 16617861, 16619363,
    16620782, 16622121, 16623383, 16624570,
    16625685, 16626730, 16627708, 16628619,
    16629465, 16630248, 16630969, 16631628,
    16632228, 16632768, 16633248, 16633671,
    16634034, 16634340, 16634586, 16634774,
    16634903, 16634972, 16634980, 16634926,
    16634810, 16634628, 16634381, 16634066,
    16633680, 16633222, 16632688, 16632075,
    16631380, 16630598, 16629726, 16628757,
    16627686, 16626507, 16625212, 16623794,
    16622243, 16620548, 16618698, 16616679,
    16614476, 16612071, 16609444, 16606571,
    16603425, 16599973, 16596178, 16591995,
    16587369, 16582237, 16576520, 16570120,
    16562917, 16554758, 16545450, 16534739,
    16522287, 16507638, 16490152, 16468907,
    16442518, 16408804, 16364095, 16301683,
    16207738, 16047994, 15704248, 15472926
};

/* tabulated values of 2^{-24}*x[i] */
static const double wtab[128] =
{
    1.62318314817e-08, 2.16291505214e-08, 2.54246305087e-08, 2.84579525938e-08,
    3.10340022482e-08, 3.33011726243e-08, 3.53439060345e-08, 3.72152672658e-08,
    3.8950989572e-08, 4.05763964764e-08, 4.21101548915e-08, 4.35664624904e-08,
    4.49563968336e-08, 4.62887864029e-08, 4.75707945735e-08, 4.88083237257e-08,
    5.00063025384e-08, 5.11688950428e-08, 5.22996558616e-08, 5.34016475624e-08,
    5.44775307871e-08, 5.55296344581e-08, 5.65600111659e-08, 5.75704813695e-08,
    5.85626690412e-08, 5.95380306862e-08, 6.04978791776e-08, 6.14434034901e-08,
    6.23756851626e-08, 6.32957121259e-08, 6.42043903937e-08, 6.51025540077e-08,
    6.59909735447e-08, 6.68703634341e-08, 6.77413882848e-08, 6.8604668381e-08,
    6.94607844804e-08, 7.03102820203e-08, 7.11536748229e-08, 7.1991448372e-08,
    7.2824062723e-08, 7.36519550992e-08, 7.44755422158e-08, 7.52952223703e-08,
    7.61113773308e-08, 7.69243740467e-08, 7.77345662086e-08, 7.85422956743e-08,
    7.93478937793e-08, 8.01516825471e-08, 8.09539758128e-08, 8.17550802699e-08,
    8.25552964535e-08, 8.33549196661e-08, 8.41542408569e-08, 8.49535474601e-08,
    8.57531242006e-08, 8.65532538723e-08, 8.73542180955e-08, 8.8156298059e-08,
    8.89597752521e-08, 8.97649321908e-08, 9.05720531451e-08, 9.138142487e-08,
    9.21933373471e-08, 9.30080845407e-08, 9.38259651738e-08, 9.46472835298e-08,
    9.54723502847e-08, 9.63014833769e-08, 9.71350089201e-08, 9.79732621669e-08,
    9.88165885297e-08, 9.96653446693e-08, 1.00519899658e-07, 1.0138063623e-07,
    1.02247952126e-07, 1.03122261554e-07, 1.04003996769e-07, 1.04893609795e-07,
    1.05791574313e-07, 1.06698387725e-07, 1.07614573423e-07, 1.08540683296e-07,
    1.09477300508e-07, 1.1042504257e-07, 1.11384564771e-07, 1.12356564007e-07,
    1.13341783071e-07, 1.14341015475e-07, 1.15355110887e-07, 1.16384981291e-07,
    1.17431607977e-07, 1.18496049514e-07, 1.19579450872e-07, 1.20683053909e-07,
    1.21808209468e-07, 1.2295639141e-07, 1.24129212952e-07, 1.25328445797e-07,
    1.26556042658e-07, 1.27814163916e-07, 1.29105209375e-07, 1.30431856341e-07,
    1.31797105598e-07, 1.3320433736e-07, 1.34657379914e-07, 1.36160594606e-07,
    1.37718982103e-07, 1.39338316679e-07, 1.41025317971e-07, 1.42787873535e-07,
    1.44635331499e-07, 1.4657889173e-07, 1.48632138436e-07, 1.50811780719e-07,
    1.53138707402e-07, 1.55639532047e-07, 1.58348931426e-07, 1.61313325908e-07,
    1.64596952856e-07, 1.68292495203e-07, 1.72541128694e-07, 1.77574279496e-07,
    1.83813550477e-07, 1.92166040885e-07, 2.05295471952e-07, 2.22600839893e-07
};

} // namespace moose::details

/* --------------------------------------------------------------------------*/
/* ----------------------------------------------------------------------------*/
template<typename T = double>
class normal_distribution
{

public:

    normal_distribution( T mean = 0.0, T sigma = 1.0) :
        mean_(mean), sigma_(sigma)
    {
        mean_ = mean;
        sigma_ = sigma;
    }

    ~normal_distribution() { ; }

    double operator()( moose::MOOSE_RNG_DEFAULT_ENGINE& r )
    {
        unsigned long  U=0, sign=0, i=0, j=0;
        T  x=0, y=0;

        while (1)
        {
            U = r();
            i = U & 0x0000007F;     /* 7 bit to choose the step */
            sign = U & 0x00000080;  /* 1 bit for the sign */
            j = U>>8;           /* 24 bit for the x-value */

            x = j*details::wtab[i];
            if (j < details::ktab[i])  break;

            if (i<127)
            {
                double  y0 = 0, y1 = 0;
                y0 = details::ytab[i];
                y1 = details::ytab[i+1];
                y = y1+(y0-y1)*r();
            }
            else
            {
                x = PARAM_R - std::log(1.0 - r()) / PARAM_R;
                y = exp( - PARAM_R*(x-0.5* PARAM_R)) * r();
            }
            if (y < std::exp(-0.5*x*x))  break;
        }
        return  sign ? sigma_*x : -sigma_*x;
    }

public:

    T mean_;
    T sigma_;
};

} // namespace moose

#endif /* end of include guard: NORMALDISTRIBUTION_H */