70 lines
1.5 KiB
JavaScript
70 lines
1.5 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 ln = require( '@stdlib/math/base/special/ln' );
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// MAIN //
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/**
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* Returns a pseudorandom number drawn from a gamma distribution.
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*
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* @private
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* @param {PRNG} randu - PRNG for uniformly distributed numbers
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* @param {PRNG} randn - PRNG for standard normally distributed numbers
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* @param {PositiveNumber} beta - rate parameter
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* @param {PositiveNumber} d - `alpha + 2/3` or `alpha - 1/3`
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* @param {PositiveNumber} c - `1.0 / sqrt( 9.0*d )`
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* @returns {PositiveNumber} pseudorandom number
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*/
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function gamma( randu, randn, beta, d, c ) {
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var flg;
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var x2;
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var v0;
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var v1;
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var x;
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var u;
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var v;
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flg = true;
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while ( flg ) {
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do {
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x = randn();
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v = 1.0 + (c*x);
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} while ( v <= 0.0 );
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v *= v * v;
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x2 = x * x;
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v0 = 1.0 - (0.331*x2*x2);
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v1 = (0.5*x2) + (d*( 1.0-v+ln(v) ));
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u = randu();
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if ( u < v0 || ln( u ) < v1 ) {
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flg = false;
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}
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}
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return (1.0/beta) * d * v;
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}
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// EXPORTS //
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module.exports = gamma;
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