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/* Random kit 1.6 */
/*
* Copyright (c) 2004-2006, Jean-Sebastien Roy (js@jeannot.org)
*
* Permission is hereby granted, free of charge, to any person obtaining a
* copy of this software and associated documentation files (the
* "Software"), to deal in the Software without restriction, including
* without limitation the rights to use, copy, modify, merge, publish,
* distribute, sublicense, and/or sell copies of the Software, and to
* permit persons to whom the Software is furnished to do so, subject to
* the following conditions:
*
* The above copyright notice and this permission notice shall be included
* in all copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS
* OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
* MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
* IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
* CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
* TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
* SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
/* @(#) $Jeannot: rk_sobol.h,v 1.7 2006/02/19 13:48:34 js Exp $ */
/*
* Typical use:
*
* int dimension = 2;
* rk_sobol_state s;
* rk_sobol_error rc;
* double x[dimension], y[dimension];
*
* // Init
* if (rc = rk_sobol_init(dimension, &s, NULL, NULL, NULL))
* {
* fprintf(stderr, "%s\n", rk_sobol_strerror[rc]);
* abort();
* }
*
* // Draw uniform quasirandom doubles
* if (rc = rk_sobol_double(&s, x))
* {
* fprintf(stderr, "%s\n", rk_sobol_strerror[rc]);
* abort();
* }
*
* // Draw gaussian quasirandom doubles
* if (rc = rk_sobol_gauss(&s, y))
* {
* fprintf(stderr, "%s\n", rk_sobol_strerror[rc]);
* abort();
* }
*
* // Free allocated memory
* rk_sobol_free(&s);
*/
#ifndef _RK_SOBOL_
#define _RK_SOBOL_
#include "rk_mt.h"
typedef enum {
RK_SOBOL_OK = 0, /* No error */
RK_SOBOL_EINVAL = 1, /* Invalid dimension (<= 0 or too large) */
RK_SOBOL_EXHAUST = 2, /* Too many number generated */
RK_SOBOL_ENOMEM = 3, /* Not enough memory */
RK_SOBOL_ERR_MAX = 4
} rk_sobol_error;
/* error strings */
extern char *rk_sobol_strerror[];
typedef struct
{
size_t dimension;
unsigned long *direction;
unsigned long *numerator;
unsigned long count;
unsigned long gcount;
} rk_sobol_state;
#ifdef __cplusplus
extern "C" {
#endif
/* Sobol directions initializations (zero terminated lists) */
/*
* Sobol/Levitan coefficients of the free direction integers as given
* by Bratley, P., Fox, B.L. (1988)
* Defined up to dimension 40.
*/
extern const unsigned long rk_sobol_SLdirections[];
/*
* Lemieux coefficients of the free direction integers as given
* in QuantLib by Christiane Lemieux, private communication, September 2004
* Defined up to dimension 360.
*/
extern const unsigned long rk_sobol_Ldirections[];
/*
* Peter Jckel coefficients of the free direction integers as given
* in "Monte Carlo Methods in Finance", by Peter Jckel, section 8.3
* Defined up to dimension 32.
*/
extern const unsigned long rk_sobol_Jdirections[];
/*
* Initialize a sobol quasirandom number generator.
* 1 <= dimension <= the number of primitive polylonimals of degree < LONG_BIT
* If directions == NULL (or more directions than provided are required),
* the directions are picked at random using rs_dir.
* If rs_dir == NULL, it is initialized using rk_randomseed.
* polynomials is a zero terminated list of primitive polynomials to use if
* it is != NULL to speed up initialization for dimension > 1024.
*/
extern rk_sobol_error rk_sobol_init(size_t dimension, rk_sobol_state *s,
rk_state *rs_dir, const unsigned long *directions,
const unsigned long *polynomials);
/*
* Reinitialize the random generator with same directions.
*/
extern void rk_sobol_reinit(rk_sobol_state *s);
/*
* You can change the starting rank in the sequence by changing s->count.
*/
extern void rk_sobol_setcount(rk_sobol_state *s, unsigned long count);
/*
* XOR the numerators at random using rs_num.
* To be used once, after (re-)initialization.
* Useful for randomized quasi monte carlo.
* If rs_num == NULL, it is initialized using rk_randomseed.
*/
extern void rk_sobol_randomshift(rk_sobol_state *s, rk_state *rs_num);
/*
* Copy a sobol generator.
* Can be used to avoid the time consuming initialization.
*/
extern rk_sobol_error rk_sobol_copy(rk_sobol_state *copy, rk_sobol_state *orig);
/*
* Free the memory allocated by rk_sobol_init
*/
extern void rk_sobol_free(rk_sobol_state *s);
/*
* return a vector of dimension quasirandom uniform deviates between 0 and 1
*/
extern rk_sobol_error rk_sobol_double(rk_sobol_state *s, double *x);
/*
* return a vector of dimension quasirandom gaussian deviates
* with variance unity and zero mean.
* On Windows, the standard function erfc is missing, which results in
* lower precision (9 digits instead of full precision).
*/
extern rk_sobol_error rk_sobol_gauss(rk_sobol_state *s, double *x);
#ifdef __cplusplus
}
#endif
#endif /* _RK_SOBOL_ */
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