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Diffstat (limited to 'rand/rand_distr/src/exponential.rs')
-rw-r--r-- | rand/rand_distr/src/exponential.rs | 145 |
1 files changed, 145 insertions, 0 deletions
diff --git a/rand/rand_distr/src/exponential.rs b/rand/rand_distr/src/exponential.rs new file mode 100644 index 0000000..8322489 --- /dev/null +++ b/rand/rand_distr/src/exponential.rs @@ -0,0 +1,145 @@ +// Copyright 2018 Developers of the Rand project. +// Copyright 2013 The Rust Project Developers. +// +// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or +// https://www.apache.org/licenses/LICENSE-2.0> or the MIT license +// <LICENSE-MIT or https://opensource.org/licenses/MIT>, at your +// option. This file may not be copied, modified, or distributed +// except according to those terms. + +//! The exponential distribution. + +use rand::Rng; +use crate::{ziggurat_tables, Distribution}; +use crate::utils::{ziggurat, Float}; + +/// Samples floating-point numbers according to the exponential distribution, +/// with rate parameter `λ = 1`. This is equivalent to `Exp::new(1.0)` or +/// sampling with `-rng.gen::<f64>().ln()`, but faster. +/// +/// See `Exp` for the general exponential distribution. +/// +/// Implemented via the ZIGNOR variant[^1] of the Ziggurat method. The exact +/// description in the paper was adjusted to use tables for the exponential +/// distribution rather than normal. +/// +/// [^1]: Jurgen A. Doornik (2005). [*An Improved Ziggurat Method to +/// Generate Normal Random Samples*]( +/// https://www.doornik.com/research/ziggurat.pdf). +/// Nuffield College, Oxford +/// +/// # Example +/// ``` +/// use rand::prelude::*; +/// use rand_distr::Exp1; +/// +/// let val: f64 = thread_rng().sample(Exp1); +/// println!("{}", val); +/// ``` +#[derive(Clone, Copy, Debug)] +pub struct Exp1; + +impl Distribution<f32> for Exp1 { + #[inline] + fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> f32 { + // TODO: use optimal 32-bit implementation + let x: f64 = self.sample(rng); + x as f32 + } +} + +// This could be done via `-rng.gen::<f64>().ln()` but that is slower. +impl Distribution<f64> for Exp1 { + #[inline] + fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> f64 { + #[inline] + fn pdf(x: f64) -> f64 { + (-x).exp() + } + #[inline] + fn zero_case<R: Rng + ?Sized>(rng: &mut R, _u: f64) -> f64 { + ziggurat_tables::ZIG_EXP_R - rng.gen::<f64>().ln() + } + + ziggurat(rng, false, + &ziggurat_tables::ZIG_EXP_X, + &ziggurat_tables::ZIG_EXP_F, + pdf, zero_case) + } +} + +/// The exponential distribution `Exp(lambda)`. +/// +/// This distribution has density function: `f(x) = lambda * exp(-lambda * x)` +/// for `x > 0`. +/// +/// Note that [`Exp1`](crate::Exp1) is an optimised implementation for `lambda = 1`. +/// +/// # Example +/// +/// ``` +/// use rand_distr::{Exp, Distribution}; +/// +/// let exp = Exp::new(2.0).unwrap(); +/// let v = exp.sample(&mut rand::thread_rng()); +/// println!("{} is from a Exp(2) distribution", v); +/// ``` +#[derive(Clone, Copy, Debug)] +pub struct Exp<N> { + /// `lambda` stored as `1/lambda`, since this is what we scale by. + lambda_inverse: N +} + +/// Error type returned from `Exp::new`. +#[derive(Clone, Copy, Debug, PartialEq, Eq)] +pub enum Error { + /// `lambda <= 0` or `nan`. + LambdaTooSmall, +} + +impl<N: Float> Exp<N> +where Exp1: Distribution<N> +{ + /// Construct a new `Exp` with the given shape parameter + /// `lambda`. + #[inline] + pub fn new(lambda: N) -> Result<Exp<N>, Error> { + if !(lambda > N::from(0.0)) { + return Err(Error::LambdaTooSmall); + } + Ok(Exp { lambda_inverse: N::from(1.0) / lambda }) + } +} + +impl<N: Float> Distribution<N> for Exp<N> +where Exp1: Distribution<N> +{ + fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N { + rng.sample(Exp1) * self.lambda_inverse + } +} + +#[cfg(test)] +mod test { + use crate::Distribution; + use super::Exp; + + #[test] + fn test_exp() { + let exp = Exp::new(10.0).unwrap(); + let mut rng = crate::test::rng(221); + for _ in 0..1000 { + assert!(exp.sample(&mut rng) >= 0.0); + } + } + #[test] + #[should_panic] + fn test_exp_invalid_lambda_zero() { + Exp::new(0.0).unwrap(); + } + #[test] + #[should_panic] + fn test_exp_invalid_lambda_neg() { + Exp::new(-10.0).unwrap(); + } +} |