| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You 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 org.apache.commons.rng.sampling.distribution; |
| |
| import org.apache.commons.rng.UniformRandomProvider; |
| |
| /** |
| * <a href="https://en.wikipedia.org/wiki/Marsaglia_polar_method"> |
| * Marsaglia polar method</a> for sampling from a Gaussian distribution |
| * with mean 0 and standard deviation 1. |
| * This is a variation of the algorithm implemented in |
| * {@link BoxMullerNormalizedGaussianSampler}. |
| * |
| * @since 1.1 |
| */ |
| public class MarsagliaNormalizedGaussianSampler |
| implements NormalizedGaussianSampler { |
| /** Next gaussian. */ |
| private double nextGaussian = Double.NaN; |
| /** Underlying source of randomness. */ |
| private final UniformRandomProvider rng; |
| |
| /** |
| * @param rng Generator of uniformly distributed random numbers. |
| */ |
| public MarsagliaNormalizedGaussianSampler(UniformRandomProvider rng) { |
| this.rng = rng; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double sample() { |
| if (Double.isNaN(nextGaussian)) { |
| // Rejection scheme for selecting a pair that lies within the unit circle. |
| while (true) { |
| // Generate a pair of numbers within [-1 , 1). |
| final double x = 2 * rng.nextDouble() - 1; |
| final double y = 2 * rng.nextDouble() - 1; |
| final double r2 = x * x + y * y; |
| |
| if (r2 < 1 && r2 > 0) { |
| // Pair (x, y) is within unit circle. |
| final double alpha = Math.sqrt(-2 * Math.log(r2) / r2); |
| |
| // Keep second element of the pair for next invocation. |
| nextGaussian = alpha * y; |
| |
| // Return the first element of the generated pair. |
| return alpha * x; |
| } |
| |
| // Pair is not within the unit circle: Generate another one. |
| } |
| } else { |
| // Use the second element of the pair (generated at the |
| // previous invocation). |
| final double r = nextGaussian; |
| |
| // Both elements of the pair have been used. |
| nextGaussian = Double.NaN; |
| |
| return r; |
| } |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public String toString() { |
| return "Box-Muller (with rejection) normalized Gaussian deviate [" + rng.toString() + "]"; |
| } |
| } |