Merge pull request #57 from bashtage/box-muller-float

ENH: Add 32-bit normals using Box-Muller

Author: bashtage

README.md

@@ -31,14 +31,15 @@ w = rnd.standard_normal(10000, method='zig')
 ```
 
 * Preliminary support for 32-bit floating randoms for core generators. 
-  Currently only uniforms (`random_sample`) and exponentials 
-  (`standard_exponential`) have been implemented. Ultimately support 
-  should be avialable for:
+  Currently only uniforms (`random_sample`), exponentials 
+  (`standard_exponential`) and normals (`standard_normal` but only 
+  using Box-Muller, so `method='bm'` is required) have been implemented. 
+  Ultimately support should be avialable for:
 
     * Uniforms
     * Exponentials
     * Standard Gammas (via `standard_gamma`)
-    * Normals (via `standard_normal`)
+    * Normals (currently only implemented using Box-Muller transformation)
 
   **WARNING**: The 32-bit generators are **experimental** and subjust 
   to change.

README.rst

@@ -32,14 +32,16 @@ Features
     w = rnd.standard_normal(10000, method='zig')
 
 -  Preliminary support for 32-bit floating randoms for core generators.
-   Currently only uniforms (``random_sample``) and exponentials
-   (``standard_exponential``) have been implemented. Ultimately support
-   should be avialable for:
+   Currently only uniforms (``random_sample``), exponentials
+   (``standard_exponential``) and normals (``standard_normal`` but only
+   using Box-Muller, so ``method='bm'`` is required) have been
+   implemented. Ultimately support should be avialable for:
 
    -  Uniforms
    -  Exponentials
    -  Standard Gammas (via ``standard_gamma``)
-   -  Normals (via ``standard_normal``)
+   -  Normals (currently only implemented using Box-Muller
+      transformation)
 
 **WARNING**: The 32-bit generators are **experimental** and subjust to
 change.

randomstate/distributions.c

@@ -53,6 +53,36 @@ static inline double gauss(aug_state* state)
     }
 }
 
+static inline float gauss_float(aug_state* state)
+{
+    if (state->has_gauss_float)
+    {
+        const float temp = state->gauss_float;
+        state->has_gauss_float = false;
+        state->gauss_float = 0.0f;
+        return temp;
+    }
+    else
+    {
+        float f, x1, x2, r2;
+
+        do {
+            x1 = 2.0f * random_float(state) - 1.0f;
+            x2 = 2.0f * random_float(state) - 1.0f;
+            r2 = x1*x1 + x2*x2;
+        }
+        while (r2 >= 1.0 || r2 == 0.0);
+
+        /* Box-Muller transform */
+        f = sqrtf(-2.0f * logf(r2)/r2);
+        /* Keep for next call */
+        state->gauss_float = f*x1;
+        state->has_gauss_float = true;
+        return f*x2;
+    }
+}
+
+
 /*
 *  Julia implementation of Ziggurat algo
 *  MIT license
@@ -92,6 +122,116 @@ static inline double gauss_zig_julia(aug_state* state)
     }
 }
 
+
+static inline double standard_gamma(aug_state* state, double shape)
+{
+    double b, c;
+    double U, V, X, Y;
+
+    if (shape == 1.0)
+    {
+        return standard_exponential(state);
+    }
+    else if (shape < 1.0)
+    {
+        for (;;)
+        {
+            U = random_double(state);
+            V = standard_exponential(state);
+            if (U <= 1.0 - shape)
+            {
+                X = pow(U, 1./shape);
+                if (X <= V)
+                {
+                    return X;
+                }
+            }
+            else
+            {
+                Y = -log((1-U)/shape);
+                X = pow(1.0 - shape + shape*Y, 1./shape);
+                if (X <= (V + Y))
+                {
+                    return X;
+                }
+            }
+        }
+    }
+    else
+    {
+        b = shape - 1./3.;
+        c = 1./sqrt(9*b);
+        for (;;)
+        {
+            do
+            {
+                X = gauss(state);
+                V = 1.0 + c*X;
+            } while (V <= 0.0);
+
+            V = V*V*V;
+            U = random_double(state);
+            if (U < 1.0 - 0.0331*(X*X)*(X*X)) return (b*V);
+            if (log(U) < 0.5*X*X + b*(1. - V + log(V))) return (b*V);
+        }
+    }
+}
+
+static inline float standard_gamma_float(aug_state* state, float shape)
+{
+    float b, c;
+    float U, V, X, Y;
+
+    if (shape == 1.0f)
+    {
+        return standard_exponential_float(state);
+    }
+    else if (shape < 1.0f)
+    {
+        for (;;)
+        {
+            U = random_float(state);
+            V = standard_exponential_float(state);
+            if (U <= 1.0f - shape)
+            {
+                X = powf(U, 1.0f/shape);
+                if (X <= V)
+                {
+                    return X;
+                }
+            }
+            else
+            {
+                Y = -logf((1.0f-U)/shape);
+                X = powf(1.0f - shape + shape*Y, 1.0f/shape);
+                if (X <= (V + Y))
+                {
+                    return X;
+                }
+            }
+        }
+    }
+    else
+    {
+        b = shape - 1.0f/3.0f;
+        c = 1.0f / sqrtf(9.0f*b);
+        for (;;)
+        {
+            do
+            {
+                X = gauss_float(state);
+                V = 1.0f + c*X;
+            } while (V <= 0.0f);
+
+            V = V*V*V;
+            U = random_float(state);
+            if (U < 1.0f - 0.0331f * (X*X)*(X*X)) return (b*V);
+            if (logf(U) < 0.5f * X*X + b*(1.0f - V + logf(V))) return (b*V);
+        }
+    }
+}
+
+
 /*
  *
  * RNGs for use in other code
@@ -186,59 +326,17 @@ void random_gauss_fill(aug_state* state, npy_intp count, double *out) {
     }
 }
 
+void random_gauss_fill_float(aug_state* state, npy_intp count, float *out) {
 
-double random_standard_gamma(aug_state* state, double shape)
-{
-    double b, c;
-    double U, V, X, Y;
-
-    if (shape == 1.0)
-    {
-        return random_standard_exponential(state);
-    }
-    else if (shape < 1.0)
-    {
-        for (;;)
-        {
-            U = random_double(state);
-            V = random_standard_exponential(state);
-            if (U <= 1.0 - shape)
-            {
-                X = pow(U, 1./shape);
-                if (X <= V)
-                {
-                    return X;
-                }
-            }
-            else
-            {
-                Y = -log((1-U)/shape);
-                X = pow(1.0 - shape + shape*Y, 1./shape);
-                if (X <= (V + Y))
-                {
-                    return X;
-                }
-            }
-        }
+    npy_intp i;
+    for (i = 0; i < count; i++) {
+        out[i] = gauss_float(state);
     }
-    else
-    {
-        b = shape - 1./3.;
-        c = 1./sqrt(9*b);
-        for (;;)
-        {
-            do
-            {
-                X = random_gauss(state);
-                V = 1.0 + c*X;
-            } while (V <= 0.0);
+}
 
-            V = V*V*V;
-            U = random_double(state);
-            if (U < 1.0 - 0.0331*(X*X)*(X*X)) return (b*V);
-            if (log(U) < 0.5*X*X + b*(1. - V + log(V))) return (b*V);
-        }
-    }
+double random_standard_gamma(aug_state* state, double shape)
+{
+    return standard_gamma(state, shape);
 }
 
 
@@ -311,7 +409,12 @@ double random_uniform(aug_state *state, double lower, double range)
 
 double random_gamma(aug_state *state, double shape, double scale)
 {
-    return scale * random_standard_gamma(state, shape);
+    return scale * standard_gamma(state, shape);
+}
+
+float random_gamma_float(aug_state *state, float shape, float scale)
+{
+    return scale * standard_gamma_float(state, shape);
 }
 
 double random_beta(aug_state *state, double a, double b)

randomstate/distributions.h

@@ -68,6 +68,8 @@ extern double random_uniform(aug_state *state, double loc, double scale);
 
 extern double random_gamma(aug_state *state, double shape, double scale);
 
+extern float random_gamma_float(aug_state *state, float shape, float scale);
+
 extern double random_beta(aug_state *state, double a, double b);
 
 extern double random_chisquare(aug_state *state, double df);
@@ -150,4 +152,6 @@ extern void random_standard_exponential_fill_float(aug_state* state, npy_intp co
 
 extern void random_gauss_fill(aug_state* state, npy_intp count, double *out);
 
+extern void random_gauss_fill_float(aug_state* state, npy_intp count, float *out);
+
 extern void random_gauss_zig_julia_fill(aug_state *state, npy_intp count, double *out);

randomstate/interface/dSFMT/dSFMT-shim.h

@@ -15,7 +15,8 @@ typedef struct s_aug_state {
     dsfmt_t *rng;
     binomial_t *binomial;
 
-    int has_gauss, shift_zig_random_int, has_uint32;
+    int has_gauss, has_gauss_float, shift_zig_random_int, has_uint32;
+    float gauss_float;
     double gauss;
     uint32_t uinteger;
     uint64_t zig_random_int;

randomstate/interface/dSFMT/dSFMT.pxi

@@ -28,7 +28,8 @@ cdef extern from "distributions.h":
         dsfmt_t *rng
         binomial_t *binomial
 
-        int has_gauss, shift_zig_random_int, has_uint32
+        int has_gauss, shift_zig_random_int, has_uint32, has_gauss_float
+        float gauss_float
         double gauss
         uint64_t zig_random_int
         uint32_t uinteger

randomstate/interface/mlfg-1279-861/mlfg-1279-861-shim.h

@@ -14,7 +14,8 @@ typedef struct s_aug_state {
     mlfg_state *rng;
     binomial_t *binomial;
 
-    int has_gauss, shift_zig_random_int, has_uint32;
+    int has_gauss, has_gauss_float, shift_zig_random_int, has_uint32;
+    float gauss_float;
     double gauss;
     uint32_t uinteger;
     uint64_t zig_random_int;

randomstate/interface/mlfg-1279-861/mlfg-1279-861.pxi

@@ -13,7 +13,8 @@ cdef extern from "distributions.h":
         mlfg_state *rng
         binomial_t *binomial
 
-        int has_gauss, shift_zig_random_int, has_uint32
+        int has_gauss, shift_zig_random_int, has_uint32, has_gauss_float
+        float gauss_float
         double gauss
         uint64_t zig_random_int
         uint32_t uinteger

randomstate/interface/mrg32k3a/mrg32k3a-shim.h

@@ -15,7 +15,8 @@ typedef struct s_aug_state {
     mrg32k3a_state *rng;
     binomial_t *binomial;
 
-    int has_gauss, shift_zig_random_int, has_uint32;
+    int has_gauss, has_gauss_float, shift_zig_random_int, has_uint32;
+    float gauss_float;
     double gauss;
     uint64_t zig_random_int;
     uint32_t uinteger;

randomstate/interface/mrg32k3a/mrg32k3a.pxi

@@ -14,7 +14,8 @@ cdef extern from "distributions.h":
         mrg32k3a_state *rng
         binomial_t *binomial
 
-        int has_gauss, shift_zig_random_int, has_uint32
+        int has_gauss, shift_zig_random_int, has_uint32, has_gauss_float
+        float gauss_float
         double gauss
         uint32_t uinteger
         uint64_t zig_random_int