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/* mpfr_nrandom (rop, state, rnd_mode) -- Generate a normal deviate with mean 0
and variance 1 and round it to the precision of rop according to the given
rounding mode.
Copyright 2013-2019 Free Software Foundation, Inc.
Contributed by Charles Karney <charles@karney.com>, SRI International.
This file is part of the GNU MPFR Library.
The GNU MPFR Library is free software; you can redistribute it and/or modify
it under the terms of the GNU Lesser General Public License as published by
the Free Software Foundation; either version 3 of the License, or (at your
option) any later version.
The GNU MPFR Library 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 Lesser General Public
License for more details.
You should have received a copy of the GNU Lesser General Public License
along with the GNU MPFR Library; see the file COPYING.LESSER. If not, see
https://www.gnu.org/licenses/ or write to the Free Software Foundation, Inc.,
51 Franklin St, Fifth Floor, Boston, MA 02110-1301, USA. */
/*
* Sampling from the normal distribution with zero mean and unit variance.
* This uses Algorithm N given in:
* Charles F. F. Karney,
* "Sampling exactly from the normal distribution",
* ACM Trans. Math. Software 42(1), 3:1-14 (Jan. 2016).
* https://dx.doi.org/10.1145/2710016
* http://arxiv.org/abs/1303.6257
*
* The implementation here closely follows the C++ one given in the paper
* above. However, here, C is simplified by using gmp_urandomm_ui; the initial
* rejection step in H just tests the leading bit of p; and the assignment of
* the sign to the deviate using gmp_urandomb_ui. Finally, the C++
* implementation benefits from caching temporary random deviates across calls.
* This isn't possible in C without additional machinery which would complicate
* the interface.
*
* There are a few "weasel words" regarding the accuracy of this
* implementation. The algorithm produces exactly rounded normal deviates
* provided that gmp's random number engine delivers truly random bits. If it
* did, the algorithm would be perfect; however, this implementation would have
* problems, e.g., in that the integer part of the normal deviate is
* represented by an unsigned long, whereas in reality the integer part in
* unbounded. In this implementation, asserts catch overflow in the integer
* part and similar (very, very) unlikely events. In reality, of course, gmp's
* random number engine has a finite internal state (19937 bits in the case of
* the MT19937 method). This means that these unlikely events in fact won't
* occur. If the asserts are triggered, then this is an indication that the
* random number engine is defective. (Even if a hardware random number
* generator were used, the most likely explanation for the triggering of the
* asserts would be that the hardware generator was broken.)
*/
#include "random_deviate.h"
/* Algorithm H: true with probability exp(-1/2). */
static int
H (gmp_randstate_t r, mpfr_random_deviate_t p, mpfr_random_deviate_t q)
{
/* p and q are temporaries */
mpfr_random_deviate_reset (p);
if (mpfr_random_deviate_tstbit (p, 1, r))
return 1;
for (;;)
{
mpfr_random_deviate_reset (q);
if (!mpfr_random_deviate_less (q, p, r))
return 0;
mpfr_random_deviate_reset (p);
if (!mpfr_random_deviate_less (p, q, r))
return 1;
}
}
/* Step N1: return n >= 0 with prob. exp(-n/2) * (1 - exp(-1/2)). */
static unsigned long
G (gmp_randstate_t r, mpfr_random_deviate_t p, mpfr_random_deviate_t q)
{
/* p and q are temporaries */
unsigned long n = 0;
while (H (r, p, q))
{
++n;
/* Catch n wrapping around to 0; for a 32-bit unsigned long, the
* probability of this is exp(-2^30)). */
MPFR_ASSERTN (n != 0UL);
}
return n;
}
/* Step N2: true with probability exp(-m*n/2). */
static int
P (unsigned long m, unsigned long n, gmp_randstate_t r,
mpfr_random_deviate_t p, mpfr_random_deviate_t q)
{
/* p and q are temporaries. m*n is passed as two separate parameters to deal
* with the case where m*n overflows an unsigned long. This may be called
* with m = 0 and n = (unsigned long)(-1) and, because m in handled in to the
* outer loop, this routine will correctly return 1. */
while (m--)
{
unsigned long k = n;
while (k--)
{
if (!H (r, p, q))
return 0;
}
}
return 1;
}
/* Algorithm C: return (-1, 0, 1) with prob (1/m, 1/m, 1-2/m). */
static int
C (unsigned long m, gmp_randstate_t r)
{
unsigned long n = gmp_urandomm_ui (r, m);
return n == 0 ? -1 : (n == 1 ? 0 : 1);
}
/* Algorithm B: true with prob exp(-x * (2*k + x) / (2*k + 2)). */
static int
B (unsigned long k, mpfr_random_deviate_t x, gmp_randstate_t r,
mpfr_random_deviate_t p, mpfr_random_deviate_t q)
{
/* p and q are temporaries */
unsigned long m = 2 * k + 2;
/* n tracks the parity of the loop; s == 1 on first trip through loop. */
unsigned n = 0, s = 1;
int f;
/* Check if 2 * k + 2 would overflow; for a 32-bit unsigned long, the
* probability of this is exp(-2^61)). */
MPFR_ASSERTN (k < ((unsigned long)(-1) >> 1));
for (;; ++n, s = 0) /* overflow of n is innocuous */
{
if ( ((f = k ? 0 : C (m, r)) < 0) ||
(mpfr_random_deviate_reset (q),
!mpfr_random_deviate_less (q, s ? x : p, r)) ||
((f = k ? C (m, r) : f) < 0) ||
(f == 0 &&
(mpfr_random_deviate_reset (p),
!mpfr_random_deviate_less (p, x, r))) )
break;
mpfr_random_deviate_swap (p, q); /* an efficient way of doing p = q */
}
return (n & 1U) == 0;
}
/* return a normal random deviate with mean 0 and variance 1 as a MPFR */
int
mpfr_nrandom (mpfr_t z, gmp_randstate_t r, mpfr_rnd_t rnd)
{
mpfr_random_deviate_t x, p, q;
int inex;
unsigned long k, j;
mpfr_random_deviate_init (x);
mpfr_random_deviate_init (p);
mpfr_random_deviate_init (q);
for (;;)
{
k = G (r, p, q); /* step 1 */
if (!P (k, k - 1, r, p, q))
continue; /* step 2 */
mpfr_random_deviate_reset (x); /* step 3 */
for (j = 0; j <= k && B (k, x, r, p, q); ++j); /* step 4 */
if (j > k)
break;
}
mpfr_random_deviate_clear (q);
mpfr_random_deviate_clear (p);
/* steps 5, 6, 7 */
inex = mpfr_random_deviate_value (gmp_urandomb_ui (r, 1), k, x, z, r, rnd);
mpfr_random_deviate_clear (x);
return inex;
}
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