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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2024 Ralf Konrad Eckel
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file zigguratgaussianrng.hpp
\brief Ziggurat Gaussian random-number generator
*/
#ifndef quantlib_ziggurat_gaussian_rng_h
#define quantlib_ziggurat_gaussian_rng_h
#include <ql/methods/montecarlo/sample.hpp>
#include <cstdint>
namespace QuantLib {
//! Gaussian random number generator
/*! It uses the Ziggurat transformation to return a
normal distributed Gaussian deviate with average 0.0 and
standard deviation of 1.0, from a random integer
in the [0,0xffffffffffffffffULL]-interval like.
For a more detailed description see the article
"An Improved Ziggurat Method to Generate Normal Random Samples"
by Jurgen A. Doornik
(https://www.doornik.com/research/ziggurat.pdf).
The code here is inspired by the rust implementation in
https://github.com/rust-random/rand/blob/d42daabf65a3ceaf58c2eefc7eb477c4d5a9b4ba/rand_distr/src/normal.rs
and
https://github.com/rust-random/rand/blob/d42daabf65a3ceaf58c2eefc7eb477c4d5a9b4ba/rand_distr/src/utils.rs.
Class RNG must implement the following interface:
\code
Real nextReal() const;
std::uint64_t nextInt64() const;
\endcode
Currently, Xoshiro256StarStarUniformRng is the only RNG supporting this.
*/
template <class RNG>
class ZigguratGaussianRng {
public:
typedef Sample<Real> sample_type;
explicit ZigguratGaussianRng(const RNG& uint64Generator)
: uint64Generator_(uint64Generator) {}
//! returns a sample from a Gaussian distribution
sample_type next() const { return {nextReal(), 1.0}; }
//! return a random number from a Gaussian distribution
Real nextReal() const;
private:
RNG uint64Generator_;
typedef Real ZigguratTable[257];
Real pdf(Real x) const;
//! compute a random number in the tail by hand
Real zeroCase(Real u) const;
Real normR() const;
Real normX(int i) const;
Real normF(int i) const;
};
template <class RNG>
inline Real ZigguratGaussianRng<RNG>::nextReal() const {
while (true) {
// As an optimisation we re-implement the conversion
// to a double in the interval (-1,1).
// From the remaining 12 most significant bits we use 8 to construct `i`.
//
// This saves us generating a whole extra random number, while the added
// precision of using 64 bits for double does not buy us much.
std::uint64_t randomU64 = uint64Generator_.nextInt64();
Real u = 2.0 * (Real(randomU64 >> 11) + 0.5) * (1.0 / Real(1ULL << 53)) - 1.0;
auto i = (int)(randomU64 & 0xff);
Real x = u * normX(i);
if (std::abs(x) < normX(i + 1)) {
return x;
}
if (i == 0) {
// compute a random number in the tail by hand
return zeroCase(u);
}
if (normF(i + 1) + (normF(i) - normF(i + 1) * uint64Generator_.nextReal()) < pdf(x)) {
return x;
}
}
}
template <class RNG>
inline Real ZigguratGaussianRng<RNG>::zeroCase(Real u) const {
// compute a random number in the tail by hand
Real x, y;
do {
x = std::log(uint64Generator_.nextReal()) / normR();
y = std::log(uint64Generator_.nextReal());
} while (-2.0 * y < x * x);
return (u < 0.0) ? x - normR() : normR() - x;
}
template <class RNG>
inline Real ZigguratGaussianRng<RNG>::pdf(Real x) const {
return std::exp(-x * x / 2.0);
}
template <class RNG>
inline Real ZigguratGaussianRng<RNG>::normR() const {
return 3.654152885361008796;
}
template <class RNG>
Real ZigguratGaussianRng<RNG>::normX(int i) const {
static const ZigguratTable normX = {
3.910757959537090045, 3.654152885361008796, 3.449278298560964462, 3.320244733839166074,
3.224575052047029100, 3.147889289517149969, 3.083526132001233044, 3.027837791768635434,
2.978603279880844834, 2.934366867207854224, 2.894121053612348060, 2.857138730872132548,
2.822877396825325125, 2.790921174000785765, 2.760944005278822555, 2.732685359042827056,
2.705933656121858100, 2.680514643284522158, 2.656283037575502437, 2.633116393630324570,
2.610910518487548515, 2.589575986706995181, 2.569035452680536569, 2.549221550323460761,
2.530075232158516929, 2.511544441625342294, 2.493583041269680667, 2.476149939669143318,
2.459208374333311298, 2.442725318198956774, 2.426670984935725972, 2.411018413899685520,
2.395743119780480601, 2.380822795170626005, 2.366237056715818632, 2.351967227377659952,
2.337996148795031370, 2.324308018869623016, 2.310888250599850036, 2.297723348901329565,
2.284800802722946056, 2.272108990226823888, 2.259637095172217780, 2.247375032945807760,
2.235313384928327984, 2.223443340090905718, 2.211756642882544366, 2.200245546609647995,
2.188902771624720689, 2.177721467738641614, 2.166695180352645966, 2.155817819875063268,
2.145083634046203613, 2.134487182844320152, 2.124023315687815661, 2.113687150684933957,
2.103474055713146829, 2.093379631137050279, 2.083399693996551783, 2.073530263516978778,
2.063767547809956415, 2.054107931648864849, 2.044547965215732788, 2.035084353727808715,
2.025713947862032960, 2.016433734904371722, 2.007240830558684852, 1.998132471356564244,
1.989106007615571325, 1.980158896898598364, 1.971288697931769640, 1.962493064942461896,
1.953769742382734043, 1.945116560006753925, 1.936531428273758904, 1.928012334050718257,
1.919557336591228847, 1.911164563769282232, 1.902832208548446369, 1.894558525668710081,
1.886341828534776388, 1.878180486290977669, 1.870072921069236838, 1.862017605397632281,
1.854013059758148119, 1.846057850283119750, 1.838150586580728607, 1.830289919680666566,
1.822474540091783224, 1.814703175964167636, 1.806974591348693426, 1.799287584547580199,
1.791640986550010028, 1.784033659547276329, 1.776464495522344977, 1.768932414909077933,
1.761436365316706665, 1.753975320315455111, 1.746548278279492994, 1.739154261283669012,
1.731792314050707216, 1.724461502945775715, 1.717160915015540690, 1.709889657069006086,
1.702646854797613907, 1.695431651932238548, 1.688243209434858727, 1.681080704722823338,
1.673943330923760353, 1.666830296159286684, 1.659740822855789499, 1.652674147080648526,
1.645629517902360339, 1.638606196773111146, 1.631603456932422036, 1.624620582830568427,
1.617656869570534228, 1.610711622367333673, 1.603784156023583041, 1.596873794420261339,
1.589979870021648534, 1.583101723393471438, 1.576238702733332886, 1.569390163412534456,
1.562555467528439657, 1.555733983466554893, 1.548925085471535512, 1.542128153226347553,
1.535342571438843118, 1.528567729435024614, 1.521803020758293101, 1.515047842773992404,
1.508301596278571965, 1.501563685112706548, 1.494833515777718391, 1.488110497054654369,
1.481394039625375747, 1.474683555695025516, 1.467978458615230908, 1.461278162507407830,
1.454582081885523293, 1.447889631277669675, 1.441200224845798017, 1.434513276002946425,
1.427828197027290358, 1.421144398672323117, 1.414461289772464658, 1.407778276843371534,
1.401094763676202559, 1.394410150925071257, 1.387723835686884621, 1.381035211072741964,
1.374343665770030531, 1.367648583594317957, 1.360949343030101844, 1.354245316759430606,
1.347535871177359290, 1.340820365893152122, 1.334098153216083604, 1.327368577624624679,
1.320630975217730096, 1.313884673146868964, 1.307128989027353860, 1.300363230327433728,
1.293586693733517645, 1.286798664489786415, 1.279998415710333237, 1.273185207661843732,
1.266358287014688333, 1.259516886060144225, 1.252660221891297887, 1.245787495544997903,
1.238897891102027415, 1.231990574742445110, 1.225064693752808020, 1.218119375481726552,
1.211153726239911244, 1.204166830140560140, 1.197157747875585931, 1.190125515422801650,
1.183069142678760732, 1.175987612011489825, 1.168879876726833800, 1.161744859441574240,
1.154581450355851802, 1.147388505416733873, 1.140164844363995789, 1.132909248648336975,
1.125620459211294389, 1.118297174115062909, 1.110938046009249502, 1.103541679420268151,
1.096106627847603487, 1.088631390649514197, 1.081114409698889389, 1.073554065787871714,
1.065948674757506653, 1.058296483326006454, 1.050595664586207123, 1.042844313139370538,
1.035040439828605274, 1.027181966030751292, 1.019266717460529215, 1.011292417434978441,
1.003256679539591412, 0.995156999629943084, 0.986990747093846266, 0.978755155288937750,
0.970447311058864615, 0.962064143217605250, 0.953602409875572654, 0.945058684462571130,
0.936429340280896860, 0.927710533396234771, 0.918898183643734989, 0.909987953490768997,
0.900975224455174528, 0.891855070726792376, 0.882622229578910122, 0.873271068082494550,
0.863795545546826915, 0.854189171001560554, 0.844444954902423661, 0.834555354079518752,
0.824512208745288633, 0.814306670128064347, 0.803929116982664893, 0.793369058833152785,
0.782615023299588763, 0.771654424216739354, 0.760473406422083165, 0.749056662009581653,
0.737387211425838629, 0.725446140901303549, 0.713212285182022732, 0.700661841097584448,
0.687767892786257717, 0.674499822827436479, 0.660822574234205984, 0.646695714884388928,
0.632072236375024632, 0.616896989996235545, 0.601104617743940417, 0.584616766093722262,
0.567338257040473026, 0.549151702313026790, 0.529909720646495108, 0.509423329585933393,
0.487443966121754335, 0.463634336771763245, 0.437518402186662658, 0.408389134588000746,
0.375121332850465727, 0.335737519180459465, 0.286174591747260509, 0.215241895913273806,
0.000000000000000000};
return normX[i];
}
template <class RNG>
Real ZigguratGaussianRng<RNG>::normF(int i) const {
static const ZigguratGaussianRng<RNG>::ZigguratTable normF = {
0.000477467764586655, 0.001260285930498598, 0.002609072746106363, 0.004037972593371872,
0.005522403299264754, 0.007050875471392110, 0.008616582769422917, 0.010214971439731100,
0.011842757857943104, 0.013497450601780807, 0.015177088307982072, 0.016880083152595839,
0.018605121275783350, 0.020351096230109354, 0.022117062707379922, 0.023902203305873237,
0.025705804008632656, 0.027527235669693315, 0.029365939758230111, 0.031221417192023690,
0.033093219458688698, 0.034980941461833073, 0.036884215688691151, 0.038802707404656918,
0.040736110656078753, 0.042684144916619378, 0.044646552251446536, 0.046623094902089664,
0.048613553216035145, 0.050617723861121788, 0.052635418276973649, 0.054666461325077916,
0.056710690106399467, 0.058767952921137984, 0.060838108349751806, 0.062921024437977854,
0.065016577971470438, 0.067124653828023989, 0.069245144397250269, 0.071377949059141965,
0.073522973714240991, 0.075680130359194964, 0.077849336702372207, 0.080030515814947509,
0.082223595813495684, 0.084428509570654661, 0.086645194450867782, 0.088873592068594229,
0.091113648066700734, 0.093365311913026619, 0.095628536713353335, 0.097903279039215627,
0.100189498769172020, 0.102487158942306270, 0.104796225622867056, 0.107116667775072880,
0.109448457147210021, 0.111791568164245583, 0.114145977828255210, 0.116511665626037014,
0.118888613443345698, 0.121276805485235437, 0.123676228202051403, 0.126086870220650349,
0.128508722280473636, 0.130941777174128166, 0.133386029692162844, 0.135841476571757352,
0.138308116449064322, 0.140785949814968309, 0.143274978974047118, 0.145775208006537926,
0.148286642733128721, 0.150809290682410169, 0.153343161060837674, 0.155888264725064563,
0.158444614156520225, 0.161012223438117663, 0.163591108232982951, 0.166181285765110071,
0.168782774801850333, 0.171395595638155623, 0.174019770082499359, 0.176655321444406654,
0.179302274523530397, 0.181960655600216487, 0.184630492427504539, 0.187311814224516926,
0.190004651671193070, 0.192709036904328807, 0.195425003514885592, 0.198152586546538112,
0.200891822495431333, 0.203642749311121501, 0.206405406398679298, 0.209179834621935651,
0.211966076307852941, 0.214764175252008499, 0.217574176725178370, 0.220396127481011589,
0.223230075764789593, 0.226076071323264877, 0.228934165415577484, 0.231804410825248525,
0.234686861873252689, 0.237581574432173676, 0.240488605941449107, 0.243408015423711988,
0.246339863502238771, 0.249284212419516704, 0.252241126056943765, 0.255210669955677150,
0.258192911338648023, 0.261187919133763713, 0.264195763998317568, 0.267216518344631837,
0.270250256366959984, 0.273297054069675804, 0.276356989296781264, 0.279430141762765316,
0.282516593084849388, 0.285616426816658109, 0.288729728483353931, 0.291856585618280984,
0.294997087801162572, 0.298151326697901342, 0.301319396102034120, 0.304501391977896274,
0.307697412505553769, 0.310907558127563710, 0.314131931597630143, 0.317370638031222396,
0.320623784958230129, 0.323891482377732021, 0.327173842814958593, 0.330470981380537099,
0.333783015832108509, 0.337110066638412809, 0.340452257045945450, 0.343809713148291340,
0.347182563958251478, 0.350570941482881204, 0.353974980801569250, 0.357394820147290515,
0.360830600991175754, 0.364282468130549597, 0.367750569780596226, 0.371235057669821344,
0.374736087139491414, 0.378253817247238111, 0.381788410875031348, 0.385340034841733958,
0.388908860020464597, 0.392495061461010764, 0.396098818517547080, 0.399720314981931668,
0.403359739222868885, 0.407017284331247953, 0.410693148271983222, 0.414387534042706784,
0.418100649839684591, 0.421832709231353298, 0.425583931339900579, 0.429354541031341519,
0.433144769114574058, 0.436954852549929273, 0.440785034667769915, 0.444635565397727750,
0.448506701509214067, 0.452398706863882505, 0.456311852680773566, 0.460246417814923481,
0.464202689050278838, 0.468180961407822172, 0.472181538469883255, 0.476204732721683788,
0.480250865911249714, 0.484320269428911598, 0.488413284707712059, 0.492530263646148658,
0.496671569054796314, 0.500837575128482149, 0.505028667945828791, 0.509245245998136142,
0.513487720749743026, 0.517756517232200619, 0.522052074674794864, 0.526374847174186700,
0.530725304406193921, 0.535103932383019565, 0.539511234259544614, 0.543947731192649941,
0.548413963257921133, 0.552910490428519918, 0.557437893621486324, 0.561996775817277916,
0.566587763258951771, 0.571211506738074970, 0.575868682975210544, 0.580559996103683473,
0.585286179266300333, 0.590047996335791969, 0.594846243770991268, 0.599681752622167719,
0.604555390700549533, 0.609468064928895381, 0.614420723892076803, 0.619414360609039205,
0.624450015550274240, 0.629528779928128279, 0.634651799290960050, 0.639820277456438991,
0.645035480824251883, 0.650298743114294586, 0.655611470583224665, 0.660975147780241357,
0.666391343912380640, 0.671861719900766374, 0.677388036222513090, 0.682972161648791376,
0.688616083008527058, 0.694321916130032579, 0.700091918140490099, 0.705928501336797409,
0.711834248882358467, 0.717811932634901395, 0.723864533472881599, 0.729995264565802437,
0.736207598131266683, 0.742505296344636245, 0.748892447223726720, 0.755373506511754500,
0.761953346841546475, 0.768637315803334831, 0.775431304986138326, 0.782341832659861902,
0.789376143571198563, 0.796542330428254619, 0.803849483176389490, 0.811307874318219935,
0.818929191609414797, 0.826726833952094231, 0.834716292992930375, 0.842915653118441077,
0.851346258465123684, 0.860033621203008636, 0.869008688043793165, 0.878309655816146839,
0.887984660763399880, 0.898095921906304051, 0.908726440060562912, 0.919991505048360247,
0.932060075968990209, 0.945198953453078028, 0.959879091812415930, 0.977101701282731328,
1.000000000000000000};
return normF[i];
}
}
#endif
|
