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| Commit | Line | Data |
|---|---|---|
| 15637ed4 RG |
1 | /* |
| 2 | Copyright (C) 1988 Free Software Foundation | |
| 3 | written by Dirk Grunwald (grunwald@cs.uiuc.edu) | |
| 4 | ||
| 78ed81a3 | 5 | This file is part of the GNU C++ Library. This library is free |
| 6 | software; you can redistribute it and/or modify it under the terms of | |
| 7 | the GNU Library General Public License as published by the Free | |
| 8 | Software Foundation; either version 2 of the License, or (at your | |
| 9 | option) any later version. This library is distributed in the hope | |
| 10 | that it will be useful, but WITHOUT ANY WARRANTY; without even the | |
| 11 | implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR | |
| 12 | PURPOSE. See the GNU Library General Public License for more details. | |
| 13 | You should have received a copy of the GNU Library General Public | |
| 14 | License along with this library; if not, write to the Free Software | |
| 15 | Foundation, 675 Mass Ave, Cambridge, MA 02139, USA. | |
| 15637ed4 RG |
16 | */ |
| 17 | #ifdef __GNUG__ | |
| 18 | #pragma implementation | |
| 19 | #endif | |
| 20 | #include <builtin.h> | |
| 21 | #include <Random.h> | |
| 15637ed4 RG |
22 | #include <Normal.h> |
| 23 | // | |
| 24 | // See Simulation, Modelling & Analysis by Law & Kelton, pp259 | |
| 25 | // | |
| 26 | // This is the ``polar'' method. | |
| 27 | // | |
| 28 | ||
| 29 | double Normal::operator()() | |
| 30 | { | |
| 31 | ||
| 32 | if (haveCachedNormal == 1) { | |
| 33 | haveCachedNormal = 0; | |
| 34 | return(cachedNormal * pStdDev + pMean ); | |
| 35 | } else { | |
| 36 | ||
| 37 | for(;;) { | |
| 38 | double u1 = pGenerator -> asDouble(); | |
| 39 | double u2 = pGenerator -> asDouble(); | |
| 40 | double v1 = 2 * u1 - 1; | |
| 41 | double v2 = 2 * u2 - 1; | |
| 42 | double w = (v1 * v1) + (v2 * v2); | |
| 43 | ||
| 44 | // | |
| 45 | // We actually generate two IID normal distribution variables. | |
| 46 | // We cache the one & return the other. | |
| 47 | // | |
| 48 | if (w <= 1) { | |
| 49 | double y = sqrt( (-2 * log(w)) / w); | |
| 50 | double x1 = v1 * y; | |
| 51 | double x2 = v2 * y; | |
| 52 | ||
| 53 | haveCachedNormal = 1; | |
| 54 | cachedNormal = x2; | |
| 55 | return(x1 * pStdDev + pMean); | |
| 56 | } | |
| 57 | } | |
| 58 | } | |
| 59 | } | |
| 60 |