StudentPolarGen.java

/*
 * Class:        StudentPolarGen
 * Description:  Student-t random variate generators using the polar method
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.randvar;
 
import umontreal.ssj.rng.*;
import umontreal.ssj.probdist.*;

public class StudentPolarGen extends StudentGen {
 
   private boolean available = false;
   private double[] variates = new double[2];
   private static double[] staticVariates = new double[2];
   // Used by the polar method.

   public StudentPolarGen(RandomStream s, int n) {
      super(s, null);
      setN(n);
   }

   public StudentPolarGen(RandomStream s, StudentDist dist) {
      super(s, dist);
      if (dist != null)
         setN(dist.getN());
   }
 
   public double nextDouble() {
      if (available) {
         available = false;
         return variates[1];
      } else {
         polar(stream, n, variates);
         available = true;
         return variates[0];
      }
   }

   public static double nextDouble(RandomStream s, int n) {
      polar(s, n, staticVariates);
      return staticVariates[0];
   }
//>>>>>>>>>>>>>>>>>>>>  P R I V A T E S    M E T H O D S   <<<<<<<<<<<<<<<<<<<<
 
   /*****************************************************************************
    * * Student's t Distribution: Polar Method * *
    *****************************************************************************
    * * FUNCTION: - samples a random number from Student's t distribution with *
    * parameters n > 0. * * REFERENCE: - R.W. Bailey (1994): Polar generation of
    * random variates * with the t-distribution, * Mathematics of Computation 62,
    * 779-781. * * Implemented by F. Niederl, 1994 *
    *****************************************************************************
    * * The polar method of Box/Muller for generating Normal variates is adapted *
    * to the Student-t distribution. The two generated variates are not *
    * independent and the expected no. of uniforms per variate is 2.5464. * *
    *****************************************************************************
    * WinRand (c) 1995 Ernst Stadlober, Institut fuer Statistitk, TU Graz *
    *****************************************************************************
    * UNURAN (c) 2000 W. Hoermann & J. Leydold, Institut f. Statistik, WU Wien *
    ****************************************************************************/
 
   private static void polar(RandomStream stream, int n, double[] variates) {
      double u, v, w;
      do {
         u = 2. * stream.nextDouble() - 1.;
         v = 2. * stream.nextDouble() - 1.;
         w = u * u + v * v;
      } while (w > 1.);
 
      double temp = Math.sqrt(n * (Math.exp(-2. / n * Math.log(w)) - 1.) / w);
      variates[0] = u * temp;
      variates[1] = v * temp;
   }
 
}