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Diffstat (limited to 'contrib/libg++/libg++/src/Normal.cc')
-rw-r--r-- | contrib/libg++/libg++/src/Normal.cc | 60 |
1 files changed, 60 insertions, 0 deletions
diff --git a/contrib/libg++/libg++/src/Normal.cc b/contrib/libg++/libg++/src/Normal.cc new file mode 100644 index 0000000..29219b4 --- /dev/null +++ b/contrib/libg++/libg++/src/Normal.cc @@ -0,0 +1,60 @@ +/* +Copyright (C) 1988 Free Software Foundation + written by Dirk Grunwald (grunwald@cs.uiuc.edu) + +This file is part of the GNU C++ Library. This library is free +software; you can redistribute it and/or modify it under the terms of +the GNU Library General Public License as published by the Free +Software Foundation; either version 2 of the License, or (at your +option) any later version. This library is distributed in the hope +that it will be useful, but WITHOUT ANY WARRANTY; without even the +implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR +PURPOSE. See the GNU Library General Public License for more details. +You should have received a copy of the GNU Library General Public +License along with this library; if not, write to the Free Software +Foundation, 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. +*/ +#ifdef __GNUG__ +#pragma implementation +#endif +#include <builtin.h> +#include <Random.h> +#include <Normal.h> +// +// See Simulation, Modelling & Analysis by Law & Kelton, pp259 +// +// This is the ``polar'' method. +// + +double Normal::operator()() +{ + + if (haveCachedNormal == 1) { + haveCachedNormal = 0; + return(cachedNormal * pStdDev + pMean ); + } else { + + for(;;) { + double u1 = pGenerator -> asDouble(); + double u2 = pGenerator -> asDouble(); + double v1 = 2 * u1 - 1; + double v2 = 2 * u2 - 1; + double w = (v1 * v1) + (v2 * v2); + +// +// We actually generate two IID normal distribution variables. +// We cache the one & return the other. +// + if (w <= 1) { + double y = sqrt( (-2 * log(w)) / w); + double x1 = v1 * y; + double x2 = v2 * y; + + haveCachedNormal = 1; + cachedNormal = x2; + return(x1 * pStdDev + pMean); + } + } + } +} + |