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2 changes: 1 addition & 1 deletion src/distributions/binomial.rs
Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,7 @@

use Rng;
use distributions::{Distribution, Bernoulli, Cauchy};
use distributions::log_gamma::log_gamma;
use distributions::utils::log_gamma;

/// The binomial distribution `Binomial(n, p)`.
///
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3 changes: 2 additions & 1 deletion src/distributions/exponential.rs
Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,8 @@
//! The exponential distribution.

use {Rng};
use distributions::{ziggurat, ziggurat_tables, Distribution};
use distributions::{ziggurat_tables, Distribution};
use distributions::utils::ziggurat;

/// Samples floating-point numbers according to the exponential distribution,
/// with rate parameter `λ = 1`. This is equivalent to `Exp::new(1.0)` or
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51 changes: 0 additions & 51 deletions src/distributions/log_gamma.rs

This file was deleted.

132 changes: 23 additions & 109 deletions src/distributions/mod.rs
Original file line number Diff line number Diff line change
Expand Up @@ -173,60 +173,37 @@

use Rng;

#[doc(inline)] pub use self::other::Alphanumeric;
pub use self::other::Alphanumeric;
#[doc(inline)] pub use self::uniform::Uniform;
#[doc(inline)] pub use self::float::{OpenClosed01, Open01};
#[cfg(feature="alloc")]
#[doc(inline)] pub use self::weighted::{WeightedIndex, WeightedError};
#[cfg(feature="std")]
#[doc(inline)] pub use self::gamma::{Gamma, ChiSquared, FisherF, StudentT};
#[cfg(feature="std")]
#[doc(inline)] pub use self::normal::{Normal, LogNormal, StandardNormal};
#[cfg(feature="std")]
#[doc(inline)] pub use self::exponential::{Exp, Exp1};
#[cfg(feature="std")]
#[doc(inline)] pub use self::pareto::Pareto;
#[cfg(feature = "std")]
#[doc(inline)] pub use self::poisson::Poisson;
#[cfg(feature = "std")]
#[doc(inline)] pub use self::binomial::Binomial;
#[doc(inline)] pub use self::bernoulli::Bernoulli;
#[cfg(feature = "std")]
#[doc(inline)] pub use self::cauchy::Cauchy;
#[cfg(feature = "std")]
#[doc(inline)] pub use self::dirichlet::Dirichlet;
pub use self::float::{OpenClosed01, Open01};
pub use self::bernoulli::Bernoulli;
#[cfg(feature="alloc")] pub use self::weighted::{WeightedIndex, WeightedError};
#[cfg(feature="std")] pub use self::gamma::{Gamma, ChiSquared, FisherF, StudentT};
#[cfg(feature="std")] pub use self::normal::{Normal, LogNormal, StandardNormal};
#[cfg(feature="std")] pub use self::exponential::{Exp, Exp1};
#[cfg(feature="std")] pub use self::pareto::Pareto;
#[cfg(feature="std")] pub use self::poisson::Poisson;
#[cfg(feature="std")] pub use self::binomial::Binomial;
#[cfg(feature="std")] pub use self::cauchy::Cauchy;
#[cfg(feature="std")] pub use self::dirichlet::Dirichlet;

pub mod uniform;
#[cfg(feature="alloc")]
#[doc(hidden)] pub mod weighted;
#[cfg(feature="std")]
#[doc(hidden)] pub mod gamma;
#[cfg(feature="std")]
#[doc(hidden)] pub mod normal;
#[cfg(feature="std")]
#[doc(hidden)] pub mod exponential;
#[cfg(feature="std")]
#[doc(hidden)] pub mod pareto;
#[cfg(feature = "std")]
#[doc(hidden)] pub mod poisson;
#[cfg(feature = "std")]
#[doc(hidden)] pub mod binomial;
#[doc(hidden)] pub mod bernoulli;
#[cfg(feature = "std")]
#[doc(hidden)] pub mod cauchy;
#[cfg(feature = "std")]
#[doc(hidden)] pub mod dirichlet;
mod bernoulli;
#[cfg(feature="alloc")] mod weighted;
#[cfg(feature="std")] mod gamma;
#[cfg(feature="std")] mod normal;
#[cfg(feature="std")] mod exponential;
#[cfg(feature="std")] mod pareto;
#[cfg(feature="std")] mod poisson;
#[cfg(feature="std")] mod binomial;
#[cfg(feature="std")] mod cauchy;
#[cfg(feature="std")] mod dirichlet;

mod float;
mod integer;
#[cfg(feature="std")]
mod log_gamma;
mod other;
mod utils;
#[cfg(feature="std")]
mod ziggurat_tables;
#[cfg(feature="std")]
use distributions::float::IntoFloat;
#[cfg(feature="std")] mod ziggurat_tables;

/// Types (distributions) that can be used to create a random instance of `T`.
///
Expand Down Expand Up @@ -487,69 +464,6 @@ impl<'a, T: Clone> Distribution<T> for WeightedChoice<'a, T> {
}
}

/// Sample a random number using the Ziggurat method (specifically the
/// ZIGNOR variant from Doornik 2005). Most of the arguments are
/// directly from the paper:
///
/// * `rng`: source of randomness
/// * `symmetric`: whether this is a symmetric distribution, or one-sided with P(x < 0) = 0.
/// * `X`: the $x_i$ abscissae.
/// * `F`: precomputed values of the PDF at the $x_i$, (i.e. $f(x_i)$)
/// * `F_DIFF`: precomputed values of $f(x_i) - f(x_{i+1})$
/// * `pdf`: the probability density function
/// * `zero_case`: manual sampling from the tail when we chose the
/// bottom box (i.e. i == 0)

// the perf improvement (25-50%) is definitely worth the extra code
// size from force-inlining.
#[cfg(feature="std")]
#[inline(always)]
fn ziggurat<R: Rng + ?Sized, P, Z>(
rng: &mut R,
symmetric: bool,
x_tab: ziggurat_tables::ZigTable,
f_tab: ziggurat_tables::ZigTable,
mut pdf: P,
mut zero_case: Z)
-> f64 where P: FnMut(f64) -> f64, Z: FnMut(&mut R, f64) -> f64 {
loop {
// As an optimisation we re-implement the conversion to a f64.
// From the remaining 12 most significant bits we use 8 to construct `i`.
// This saves us generating a whole extra random number, while the added
// precision of using 64 bits for f64 does not buy us much.
let bits = rng.next_u64();
let i = bits as usize & 0xff;

let u = if symmetric {
// Convert to a value in the range [2,4) and substract to get [-1,1)
// We can't convert to an open range directly, that would require
// substracting `3.0 - EPSILON`, which is not representable.
// It is possible with an extra step, but an open range does not
// seem neccesary for the ziggurat algorithm anyway.
(bits >> 12).into_float_with_exponent(1) - 3.0
} else {
// Convert to a value in the range [1,2) and substract to get (0,1)
(bits >> 12).into_float_with_exponent(0)
- (1.0 - ::core::f64::EPSILON / 2.0)
};
let x = u * x_tab[i];

let test_x = if symmetric { x.abs() } else {x};

// algebraically equivalent to |u| < x_tab[i+1]/x_tab[i] (or u < x_tab[i+1]/x_tab[i])
if test_x < x_tab[i + 1] {
return x;
}
if i == 0 {
return zero_case(rng, u);
}
// algebraically equivalent to f1 + DRanU()*(f0 - f1) < 1
if f_tab[i + 1] + (f_tab[i] - f_tab[i + 1]) * rng.gen::<f64>() < pdf(x) {
return x;
}
}
}

#[cfg(test)]
mod tests {
use rngs::mock::StepRng;
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3 changes: 2 additions & 1 deletion src/distributions/normal.rs
Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,8 @@
//! The normal and derived distributions.

use Rng;
use distributions::{ziggurat, ziggurat_tables, Distribution, Open01};
use distributions::{ziggurat_tables, Distribution, Open01};
use distributions::utils::ziggurat;

/// Samples floating-point numbers according to the normal distribution
/// `N(0, 1)` (a.k.a. a standard normal, or Gaussian). This is equivalent to
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2 changes: 1 addition & 1 deletion src/distributions/poisson.rs
Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,7 @@

use Rng;
use distributions::{Distribution, Cauchy};
use distributions::log_gamma::log_gamma;
use distributions::utils::log_gamma;

/// The Poisson distribution `Poisson(lambda)`.
///
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111 changes: 111 additions & 0 deletions src/distributions/utils.rs
Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,10 @@

#[cfg(feature="simd_support")]
use core::simd::*;
#[cfg(feature="std")]
use distributions::ziggurat_tables;
#[cfg(feature="std")]
use Rng;


pub trait WideningMultiply<RHS = Self> {
Expand Down Expand Up @@ -271,3 +275,110 @@ macro_rules! simd_impl {
#[cfg(feature="simd_support")] simd_impl! { f64x2, f64, m64x2, u64x2 }
#[cfg(feature="simd_support")] simd_impl! { f64x4, f64, m64x4, u64x4 }
#[cfg(feature="simd_support")] simd_impl! { f64x8, f64, m1x8, u64x8 }

/// Calculates ln(gamma(x)) (natural logarithm of the gamma
/// function) using the Lanczos approximation.
///
/// The approximation expresses the gamma function as:
/// `gamma(z+1) = sqrt(2*pi)*(z+g+0.5)^(z+0.5)*exp(-z-g-0.5)*Ag(z)`
/// `g` is an arbitrary constant; we use the approximation with `g=5`.
///
/// Noting that `gamma(z+1) = z*gamma(z)` and applying `ln` to both sides:
/// `ln(gamma(z)) = (z+0.5)*ln(z+g+0.5)-(z+g+0.5) + ln(sqrt(2*pi)*Ag(z)/z)`
///
/// `Ag(z)` is an infinite series with coefficients that can be calculated
/// ahead of time - we use just the first 6 terms, which is good enough
/// for most purposes.
#[cfg(feature="std")]
pub fn log_gamma(x: f64) -> f64 {
// precalculated 6 coefficients for the first 6 terms of the series
let coefficients: [f64; 6] = [
76.18009172947146,
-86.50532032941677,
24.01409824083091,
-1.231739572450155,
0.1208650973866179e-2,
-0.5395239384953e-5,
];

// (x+0.5)*ln(x+g+0.5)-(x+g+0.5)
let tmp = x + 5.5;
let log = (x + 0.5) * tmp.ln() - tmp;

// the first few terms of the series for Ag(x)
let mut a = 1.000000000190015;
let mut denom = x;
for coeff in &coefficients {
denom += 1.0;
a += coeff / denom;
}

// get everything together
// a is Ag(x)
// 2.5066... is sqrt(2pi)
log + (2.5066282746310005 * a / x).ln()
}

/// Sample a random number using the Ziggurat method (specifically the
/// ZIGNOR variant from Doornik 2005). Most of the arguments are
/// directly from the paper:
///
/// * `rng`: source of randomness
/// * `symmetric`: whether this is a symmetric distribution, or one-sided with P(x < 0) = 0.
/// * `X`: the $x_i$ abscissae.
/// * `F`: precomputed values of the PDF at the $x_i$, (i.e. $f(x_i)$)
/// * `F_DIFF`: precomputed values of $f(x_i) - f(x_{i+1})$
/// * `pdf`: the probability density function
/// * `zero_case`: manual sampling from the tail when we chose the
/// bottom box (i.e. i == 0)

// the perf improvement (25-50%) is definitely worth the extra code
// size from force-inlining.
#[cfg(feature="std")]
#[inline(always)]
pub fn ziggurat<R: Rng + ?Sized, P, Z>(
rng: &mut R,
symmetric: bool,
x_tab: ziggurat_tables::ZigTable,
f_tab: ziggurat_tables::ZigTable,
mut pdf: P,
mut zero_case: Z)
-> f64 where P: FnMut(f64) -> f64, Z: FnMut(&mut R, f64) -> f64 {
use distributions::float::IntoFloat;
loop {
// As an optimisation we re-implement the conversion to a f64.
// From the remaining 12 most significant bits we use 8 to construct `i`.
// This saves us generating a whole extra random number, while the added
// precision of using 64 bits for f64 does not buy us much.
let bits = rng.next_u64();
let i = bits as usize & 0xff;

let u = if symmetric {
// Convert to a value in the range [2,4) and substract to get [-1,1)
// We can't convert to an open range directly, that would require
// substracting `3.0 - EPSILON`, which is not representable.
// It is possible with an extra step, but an open range does not
// seem neccesary for the ziggurat algorithm anyway.
(bits >> 12).into_float_with_exponent(1) - 3.0
} else {
// Convert to a value in the range [1,2) and substract to get (0,1)
(bits >> 12).into_float_with_exponent(0)
- (1.0 - ::core::f64::EPSILON / 2.0)
};
let x = u * x_tab[i];

let test_x = if symmetric { x.abs() } else {x};

// algebraically equivalent to |u| < x_tab[i+1]/x_tab[i] (or u < x_tab[i+1]/x_tab[i])
if test_x < x_tab[i + 1] {
return x;
}
if i == 0 {
return zero_case(rng, u);
}
// algebraically equivalent to f1 + DRanU()*(f0 - f1) < 1
if f_tab[i + 1] + (f_tab[i] - f_tab[i + 1]) * rng.gen::<f64>() < pdf(x) {
return x;
}
}
}
6 changes: 6 additions & 0 deletions src/distributions/weighted.rs
Original file line number Diff line number Diff line change
Expand Up @@ -169,10 +169,16 @@ mod test {
}
}

/// Error type returned from `WeightedIndex::new`.
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum WeightedError {
/// The provided iterator contained no items.
NoItem,

/// A weight lower than zero was used.
NegativeWeight,

/// All items in the provided iterator had a weight of zero.
AllWeightsZero,
}

Expand Down