| /* |
| * Mathlib : A C Library of Special Functions |
| * Copyright (C) 1998 Ross Ihaka |
| * Copyright (C) 2000-2002 the R Core Team |
| * |
| * This program is free software; you can redistribute it and/or modify |
| * it under the terms of the GNU General Public License as published by |
| * the Free Software Foundation; either version 2 of the License, or |
| * (at your option) any later version. |
| * |
| * This program 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 General Public License for more details. |
| * |
| * You should have received a copy of the GNU General Public License |
| * along with this program; if not, a copy is available at |
| * https://www.R-project.org/Licenses/ |
| * |
| * SYNOPSIS |
| * |
| * #include <Rmath.h> |
| * double exp_rand(void); |
| * |
| * DESCRIPTION |
| * |
| * Random variates from the standard exponential distribution. |
| * |
| * REFERENCE |
| * |
| * Ahrens, J.H. and Dieter, U. (1972). |
| * Computer methods for sampling from the exponential and |
| * normal distributions. |
| * Comm. ACM, 15, 873-882. |
| */ |
| |
| #include "nmath.h" |
| |
| double exp_rand(void) |
| { |
| /* q[k-1] = sum(log(2)^k / k!) k=1,..,n, */ |
| /* The highest n (here 16) is determined by q[n-1] = 1.0 */ |
| /* within standard precision */ |
| const static double q[] = |
| { |
| 0.6931471805599453, |
| 0.9333736875190459, |
| 0.9888777961838675, |
| 0.9984959252914960, |
| 0.9998292811061389, |
| 0.9999833164100727, |
| 0.9999985691438767, |
| 0.9999998906925558, |
| 0.9999999924734159, |
| 0.9999999995283275, |
| 0.9999999999728814, |
| 0.9999999999985598, |
| 0.9999999999999289, |
| 0.9999999999999968, |
| 0.9999999999999999, |
| 1.0000000000000000 |
| }; |
| |
| double a = 0.; |
| double u = unif_rand(); /* precaution if u = 0 is ever returned */ |
| while(u <= 0. || u >= 1.) u = unif_rand(); |
| for (;;) { |
| u += u; |
| if (u > 1.) |
| break; |
| a += q[0]; |
| } |
| u -= 1.; |
| |
| if (u <= q[0]) |
| return a + u; |
| |
| int i = 0; |
| double ustar = unif_rand(), umin = ustar; |
| do { |
| ustar = unif_rand(); |
| if (umin > ustar) |
| umin = ustar; |
| i++; |
| } while (u > q[i]); |
| return a + umin * q[0]; |
| } |