extreme_value_distribution.hpp

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//============================================================================
// MCKL/include/mckl/random/extreme_value_distribution.hpp
//----------------------------------------------------------------------------
// MCKL: Monte Carlo Kernel Library
//----------------------------------------------------------------------------
// Copyright (c) 2013-2018, Yan Zhou
// All rights reserved.
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//============================================================================

#ifndef MCKL_RANDOM_EXTREME_VALUE_DISTRIBUTION_HPP
#define MCKL_RANDOM_EXTREME_VALUE_DISTRIBUTION_HPP

#include <mckl/random/internal/common.hpp>
#include <mckl/random/u01_distribution.hpp>

namespace mckl {

namespace internal {

template <typename RealType>
inline bool extreme_value_distribution_check_param(RealType, RealType b)
{
    return b > 0;
}

template <std::size_t, typename RealType, typename RNGType>
inline void extreme_value_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    u01_oo_distribution(rng, n, r);
    log(n, r, r);
    mul(n, static_cast<RealType>(-1), r, r);
    log(n, r, r);
    muladd(n, r, -b, a, r);
}

} // namespace internal

MCKL_DEFINE_RANDOM_DISTRIBUTION_BATCH_2(
    ExtremeValue, extreme_value, RealType, RealType, a, RealType, b)

template <typename RealType>
class ExtremeValueDistribution
{
    MCKL_DEFINE_RANDOM_DISTRIBUTION_ASSERT_REAL_TYPE(ExtremeValue)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_2(ExtremeValue, extreme_value, RealType,
        result_type, a, 0, result_type, b, 1)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_MEMBER_0

  public:
    result_type min() const
    {
        return std::numeric_limits<result_type>::lowest();
    }

    result_type max() const { return std::numeric_limits<result_type>::max(); }

    void reset() {}

  private:
    template <typename RNGType>
    result_type generate(RNGType &rng, const param_type &param)
    {
        U01OODistribution<RealType> u01;

        return param.a() - param.b() * std::log(-std::log(u01(rng)));
    }
}; // class ExtremeValueDistribution

MCKL_DEFINE_RANDOM_DISTRIBUTION_RAND(ExtremeValue, RealType)

} // namespace mckl

#endif // MCKL_RANDOM_EXTREME_VALUE_DISTRIBUTION_HPP