pareto_distribution.hpp

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

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

namespace mckl {

namespace internal {

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

template <std::size_t, typename RealType, typename RNGType>
inline void pareto_distribution_impl(
    RNGType &rng, std::size_t n, RealType *r, RealType a, RealType b)
{
    exponential_distribution(rng, n, r, a);
    exp(n, r, r);
    mul(n, b, r, r);
}

} // namespace internal

MCKL_DEFINE_RANDOM_DISTRIBUTION_BATCH_2(
    Pareto, pareto, RealType, RealType, a, RealType, b)

template <typename RealType>
class ParetoDistribution
{
    MCKL_DEFINE_RANDOM_DISTRIBUTION_ASSERT_REAL_TYPE(Pareto)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_2(
        Pareto, pareto, RealType, result_type, a, 1, result_type, b, 1)
    MCKL_DEFINE_RANDOM_DISTRIBUTION_MEMBER_0

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

    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)
    {
        U01OCDistribution<RealType> u01;

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

MCKL_DEFINE_RANDOM_DISTRIBUTION_RAND(Pareto, RealType)

} // namespace mckl

#endif // MCKL_RANDOM_PARETO_DISTRIBUTION_HPP