levy_distribution.hpp

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

#ifndef MCKL_RANDOM_LEVY_DISTRIBUTION_HPP
#define MCKL_RANDOM_LEVY_DISTRIBUTION_HPP

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

namespace mckl {

namespace internal {

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

template <std::size_t, typename RealType, typename RNGType>
inline void levy_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    normal_distribution(
        rng, n, r, const_zero<RealType>(), const_one<RealType>());
    sqr(n, r, r);
    inv(n, r, r);
    muladd(n, r, b, a, r);

    LevyDistribution<RealType> dist;
    for (std::size_t i = 0; i != n; ++i) {
        if (!std::isfinite(r[i])) {
            r[i] = dist(rng);
        }
    }
}

} // namespace internal

MCKL_DEFINE_RANDOM_DISTRIBUTION_BATCH_2(
    Levy, levy, RealType, RealType, a, RealType, b)

template <typename RealType>
class LevyDistribution
{
    MCKL_DEFINE_RANDOM_DISTRIBUTION_ASSERT_REAL_TYPE(Levy)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_2(
        Levy, levy, RealType, result_type, a, 0, result_type, b, 1)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_MEMBER_1(
        NormalDistribution<RealType>, normal_)

  public:
    result_type min() const { return a(); }

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

    void reset() { normal_ = NormalDistribution<RealType>(0, 1); }

  private:
    template <typename RNGType>
    result_type generate(RNGType &rng, const param_type &param)
    {
        result_type r = 0;
        MCKL_PUSH_CLANG_WARNING("-Wfloat-equal")
        MCKL_PUSH_INTEL_WARNING(1572) // floating-point comparison
        while (r == 0) {
            r = normal_(rng);
        }
        MCKL_POP_CLANG_WARNING
        MCKL_POP_INTEL_WARNING

        return param.a() + param.b() / (r * r);
    }
}; // class LevyDistribution

MCKL_DEFINE_RANDOM_DISTRIBUTION_RAND(Levy, RealType)

} // namespace mckl

#endif // MCKL_RANDOM_LEVY_DISTRIBUTION_HPP