give more expressive names to main functions
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@ -77,7 +77,7 @@ Behaviour on error can be toggled by the `EXIT_ON_ERROR` variable. This library
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## To do list
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## To do list
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- [ ] Rename functions to something more self-explanatory, e.g,. sample_unit_normal.
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- [ ] Rename functions to something more self-explanatory, e.g,. sample_sample_sample_unit_normal.
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- [ ] Have some more complicated & realistic example
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- [ ] Have some more complicated & realistic example
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- [ ] Add summarization functions, like mean, std, 90% ci (or all c.i.?)
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- [ ] Add summarization functions, like mean, std, 90% ci (or all c.i.?)
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- [ ] Publish online
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- [ ] Publish online
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@ -90,7 +90,7 @@ Behaviour on error can be toggled by the `EXIT_ON_ERROR` variable. This library
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- [x] Add example for many samples
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- [x] Add example for many samples
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- ~~[ ] Add a custom preprocessor to allow simple nested functions that don't rely on local scope?~~
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- ~~[ ] Add a custom preprocessor to allow simple nested functions that don't rely on local scope?~~
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- [x] Use gcc extension to define functions nested inside main.
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- [x] Use gcc extension to define functions nested inside main.
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- [x] Chain various mixture functions
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- [x] Chain various sample_mixture functions
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- [x] Add beta distribution
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- [x] Add beta distribution
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- See <https://stats.stackexchange.com/questions/502146/how-does-numpy-generate-samples-from-a-beta-distribution> for a faster method.
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- See <https://stats.stackexchange.com/questions/502146/how-does-numpy-generate-samples-from-a-beta-distribution> for a faster method.
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- ~~[-] Use OpenMP for acceleration~~
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- ~~[-] Use OpenMP for acceleration~~
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Binary file not shown.
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@ -16,12 +16,12 @@ float sample_1(uint32_t* seed)
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float sample_few(uint32_t* seed)
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float sample_few(uint32_t* seed)
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{
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{
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return random_to(1, 3, seed);
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return sample_to(1, 3, seed);
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}
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}
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float sample_many(uint32_t* seed)
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float sample_many(uint32_t* seed)
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{
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{
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return random_to(2, 10, seed);
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return sample_to(2, 10, seed);
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}
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}
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int main(){
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int main(){
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@ -37,7 +37,7 @@ int main(){
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float weights[] = { 1 - p_c, p_c / 2, p_c / 4, p_c / 4 };
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float weights[] = { 1 - p_c, p_c / 2, p_c / 4, p_c / 4 };
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float (*samplers[])(uint32_t*) = { sample_0, sample_1, sample_few, sample_many };
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float (*samplers[])(uint32_t*) = { sample_0, sample_1, sample_few, sample_many };
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float result_one = mixture(samplers, weights, n_dists, seed);
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float result_one = sample_mixture(samplers, weights, n_dists, seed);
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printf("result_one: %f\n", result_one);
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printf("result_one: %f\n", result_one);
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}
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}
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Binary file not shown.
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@ -16,12 +16,12 @@ float sample_1(uint32_t* seed)
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float sample_few(uint32_t* seed)
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float sample_few(uint32_t* seed)
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{
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{
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return random_to(1, 3, seed);
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return sample_to(1, 3, seed);
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}
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}
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float sample_many(uint32_t* seed)
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float sample_many(uint32_t* seed)
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{
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{
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return random_to(2, 10, seed);
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return sample_to(2, 10, seed);
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}
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}
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int main(){
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int main(){
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@ -40,7 +40,7 @@ int main(){
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int n_samples = 1000000;
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int n_samples = 1000000;
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float* result_many = (float *) malloc(n_samples * sizeof(float));
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float* result_many = (float *) malloc(n_samples * sizeof(float));
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for(int i=0; i<n_samples; i++){
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for(int i=0; i<n_samples; i++){
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result_many[i] = mixture(samplers, weights, n_dists, seed);
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result_many[i] = sample_mixture(samplers, weights, n_dists, seed);
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}
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}
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printf("result_many: [");
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printf("result_many: [");
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Binary file not shown.
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@ -16,8 +16,8 @@ int main(){
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float sample_0(uint32_t* seed){ return 0; }
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float sample_0(uint32_t* seed){ return 0; }
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float sample_1(uint32_t* seed) { return 1; }
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float sample_1(uint32_t* seed) { return 1; }
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float sample_few(uint32_t* seed){ return random_to(1, 3, seed); }
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float sample_few(uint32_t* seed){ return sample_to(1, 3, seed); }
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float sample_many(uint32_t* seed){ return random_to(2, 10, seed); }
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float sample_many(uint32_t* seed){ return sample_to(2, 10, seed); }
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float (*samplers[])(uint32_t*) = { sample_0, sample_1, sample_few, sample_many };
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float (*samplers[])(uint32_t*) = { sample_0, sample_1, sample_few, sample_many };
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float weights[] = { 1 - p_c, p_c / 2, p_c / 4, p_c / 4 };
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float weights[] = { 1 - p_c, p_c / 2, p_c / 4, p_c / 4 };
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@ -25,7 +25,7 @@ int main(){
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int n_samples = 1000000;
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int n_samples = 1000000;
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float* result_many = (float *) malloc(n_samples * sizeof(float));
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float* result_many = (float *) malloc(n_samples * sizeof(float));
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for(int i=0; i<n_samples; i++){
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for(int i=0; i<n_samples; i++){
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result_many[i] = mixture(samplers, weights, n_dists, seed);
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result_many[i] = sample_mixture(samplers, weights, n_dists, seed);
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}
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}
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printf("result_many: [");
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printf("result_many: [");
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@ -84,12 +84,12 @@ int main()
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test_and_time_sampler_float("cdf_normal_0_1", cdf_normal_0_1, seed);
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test_and_time_sampler_float("cdf_normal_0_1", cdf_normal_0_1, seed);
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// Get some normal samples using a previous approach
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// Get some normal samples using a previous approach
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printf("\nGetting some samples from unit_normal\n");
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printf("\nGetting some samples from sample_unit_normal\n");
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clock_t begin_2 = clock();
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clock_t begin_2 = clock();
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for (int i = 0; i < NUM_SAMPLES; i++) {
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for (int i = 0; i < NUM_SAMPLES; i++) {
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float normal_sample = unit_normal(seed);
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float normal_sample = sample_unit_normal(seed);
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// printf("%f\n", normal_sample);
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// printf("%f\n", normal_sample);
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}
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}
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40
squiggle.c
40
squiggle.c
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@ -28,48 +28,44 @@ uint32_t xorshift32(uint32_t* seed)
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}
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}
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// Distribution & sampling functions
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// Distribution & sampling functions
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float rand_0_to_1(uint32_t* seed)
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float sample_unit_uniform(uint32_t* seed)
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{
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{
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// samples uniform from [0,1] interval.
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return ((float)xorshift32(seed)) / ((float)UINT32_MAX);
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return ((float)xorshift32(seed)) / ((float)UINT32_MAX);
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}
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}
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float rand_float(float max, uint32_t* seed)
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float sample_unit_normal(uint32_t* seed)
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{
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return rand_0_to_1(seed) * max;
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}
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float unit_normal(uint32_t* seed)
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{
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{
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// See: <https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform>
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// See: <https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform>
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float u1 = rand_0_to_1(seed);
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float u1 = sample_unit_uniform(seed);
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float u2 = rand_0_to_1(seed);
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float u2 = sample_unit_uniform(seed);
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float z = sqrtf(-2.0 * log(u1)) * sin(2 * PI * u2);
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float z = sqrtf(-2.0 * log(u1)) * sin(2 * PI * u2);
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return z;
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return z;
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}
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}
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float random_uniform(float from, float to, uint32_t* seed)
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float sample_uniform(float from, float to, uint32_t* seed)
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{
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{
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return rand_0_to_1(seed) * (to - from) + from;
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return sample_unit_uniform(seed) * (to - from) + from;
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}
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}
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float random_normal(float mean, float sigma, uint32_t* seed)
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float sample_normal(float mean, float sigma, uint32_t* seed)
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{
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{
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return (mean + sigma * unit_normal(seed));
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return (mean + sigma * sample_unit_normal(seed));
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}
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}
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float random_lognormal(float logmean, float logsigma, uint32_t* seed)
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float sample_lognormal(float logmean, float logsigma, uint32_t* seed)
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{
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{
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return expf(random_normal(logmean, logsigma, seed));
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return expf(sample_normal(logmean, logsigma, seed));
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}
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}
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float random_to(float low, float high, uint32_t* seed)
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float sample_to(float low, float high, uint32_t* seed)
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{
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{
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const float NORMAL95CONFIDENCE = 1.6448536269514722;
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const float NORMAL95CONFIDENCE = 1.6448536269514722;
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float loglow = logf(low);
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float loglow = logf(low);
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float loghigh = logf(high);
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float loghigh = logf(high);
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float logmean = (loglow + loghigh) / 2;
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float logmean = (loglow + loghigh) / 2;
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float logsigma = (loghigh - loglow) / (2.0 * NORMAL95CONFIDENCE);
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float logsigma = (loghigh - loglow) / (2.0 * NORMAL95CONFIDENCE);
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return random_lognormal(logmean, logsigma, seed);
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return sample_lognormal(logmean, logsigma, seed);
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}
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}
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// Array helpers
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// Array helpers
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}
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}
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// Mixture function
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// Mixture function
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float mixture(float (*samplers[])(uint32_t*), float* weights, int n_dists, uint32_t* seed)
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float sample_mixture(float (*samplers[])(uint32_t*), float* weights, int n_dists, uint32_t* seed)
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{
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{
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// You can see a simpler version of this function in the git history
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// You can see a simpler version of this function in the git history
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// or in C-02-better-algorithm-one-thread/
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// or in C-02-better-algorithm-one-thread/
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float result;
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float result;
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int result_set_flag = 0;
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int result_set_flag = 0;
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float p = random_uniform(0, 1, seed);
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float p = sample_uniform(0, 1, seed);
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for (int k = 0; k < n_dists; k++) {
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for (int k = 0; k < n_dists; k++) {
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if (p < cumsummed_normalized_weights[k]) {
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if (p < cumsummed_normalized_weights[k]) {
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result = samplers[k](seed);
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result = samplers[k](seed);
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// Sampler based on inverse cdf and randomness function
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// Sampler based on inverse cdf and randomness function
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struct box sampler_cdf_box(struct box cdf(float), uint32_t* seed)
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struct box sampler_cdf_box(struct box cdf(float), uint32_t* seed)
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{
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{
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float p = rand_0_to_1(seed);
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float p = sample_unit_uniform(seed);
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struct box result = inverse_cdf_box(cdf, p);
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struct box result = inverse_cdf_box(cdf, p);
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return result;
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return result;
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}
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}
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struct box sampler_cdf_float(float cdf(float), uint32_t* seed)
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struct box sampler_cdf_float(float cdf(float), uint32_t* seed)
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{
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{
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float p = rand_0_to_1(seed);
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float p = sample_unit_uniform(seed);
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struct box result = inverse_cdf_float(cdf, p);
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struct box result = inverse_cdf_float(cdf, p);
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return result;
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return result;
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}
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}
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/* Could also define other variations, e.g.,
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/* Could also define other variations, e.g.,
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float sampler_danger(struct box cdf(float), uint32_t* seed)
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float sampler_danger(struct box cdf(float), uint32_t* seed)
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{
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{
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float p = rand_0_to_1(seed);
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float p = sample_unit_uniform(seed);
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struct box result = inverse_cdf_box(cdf, p);
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struct box result = inverse_cdf_box(cdf, p);
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if(result.empty){
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if(result.empty){
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exit(1);
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exit(1);
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15
squiggle.h
15
squiggle.h
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@ -8,22 +8,21 @@
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uint32_t xorshift32(uint32_t* seed);
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uint32_t xorshift32(uint32_t* seed);
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// Basic distribution sampling functions
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// Basic distribution sampling functions
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float rand_0_to_1(uint32_t* seed);
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float sample_unit_uniform(uint32_t* seed);
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float rand_float(float max, uint32_t* seed);
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float sample_unit_normal(uint32_t* seed);
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float unit_normal(uint32_t* seed);
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// Composite distribution sampling functions
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// Composite distribution sampling functions
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float random_uniform(float from, float to, uint32_t* seed);
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float sample_uniform(float from, float to, uint32_t* seed);
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float random_normal(float mean, float sigma, uint32_t* seed);
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float sample_normal(float mean, float sigma, uint32_t* seed);
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float random_lognormal(float logmean, float logsigma, uint32_t* seed);
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float sample_lognormal(float logmean, float logsigma, uint32_t* seed);
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float random_to(float low, float high, uint32_t* seed);
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float sample_to(float low, float high, uint32_t* seed);
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// Array helpers
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// Array helpers
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float array_sum(float* array, int length);
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float array_sum(float* array, int length);
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void array_cumsum(float* array_to_sum, float* array_cumsummed, int length);
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void array_cumsum(float* array_to_sum, float* array_cumsummed, int length);
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// Mixture function
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// Mixture function
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float mixture(float (*samplers[])(uint32_t*), float* weights, int n_dists, uint32_t* seed);
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float sample_mixture(float (*samplers[])(uint32_t*), float* weights, int n_dists, uint32_t* seed);
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// Box
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// Box
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struct box {
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struct box {
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