86 lines
2.0 KiB
JavaScript
86 lines
2.0 KiB
JavaScript
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/**
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* @license Apache-2.0
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*
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* Copyright (c) 2018 The Stdlib Authors.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at
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*
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* http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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'use strict';
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// MODULES //
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var sqrt = require( '@stdlib/math/base/special/sqrt' );
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var ln = require( '@stdlib/math/base/special/ln' );
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var sin = require( '@stdlib/math/base/special/sin' );
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var cos = require( '@stdlib/math/base/special/cos' );
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var TWO_PI = require( '@stdlib/constants/float64/two-pi' );
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// MAIN //
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/**
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* Returns a function for generating standard normally distributed pseudorandom numbers using the Box-Muller algorithm.
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*
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* @private
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* @param {PRNG} rand - PRNG which returns standard uniformly distributed numbers
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* @returns {PRNG} PRNG
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*/
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function wrap( rand ) {
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var flg;
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var r;
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// Flag indicating whether to generate new normal random variates or return a cached normal random variate:
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flg = true;
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return randn;
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/**
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* Generates a standard normally distributed pseudorandom number.
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*
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* @private
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* @returns {number} pseudorandom number
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*
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* @example
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* var r = randn();
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* // returns <number>
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*/
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function randn() {
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var u1;
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var u2;
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var a;
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var b;
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if ( flg ) {
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// Note: if `u1` is `0`, the natural log blows up, so we keep trying until we get a non-zero rand. Rarely should we need more than one iteration.
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do {
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u1 = rand();
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u2 = rand();
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} while (
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u1 === 0.0
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);
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a = sqrt( -2.0 * ln(u1) );
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b = TWO_PI * u2;
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r = a * cos( b ); // cache for next call
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flg = false;
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return a * sin( b );
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}
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flg = true;
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return r;
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}
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}
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// EXPORTS //
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module.exports = wrap;
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