randlib.c

雷达工具箱

     ARGUMENTS
       N : NUMBER OF BERNOULLI TRIALS            (INPUT)
       PP : PROBABILITY OF SUCCESS IN EACH TRIAL (INPUT)
       ISEED:  RANDOM NUMBER SEED                (INPUT AND OUTPUT)
       JX:  RANDOMLY GENERATED OBSERVATION       (OUTPUT)
     VARIABLES
       PSAVE: VALUE OF PP FROM THE LAST CALL TO BTPEC
       NSAVE: VALUE OF N FROM THE LAST CALL TO BTPEC
       XNP:  VALUE OF THE MEAN FROM THE LAST CALL TO BTPEC
       P: PROBABILITY USED IN THE GENERATION PHASE OF BTPEC
       FFM: TEMPORARY VARIABLE EQUAL TO XNP + P
       M:  INTEGER VALUE OF THE CURRENT MODE
       FM:  FLOATING POINT VALUE OF THE CURRENT MODE
       XNPQ: TEMPORARY VARIABLE USED IN SETUP AND SQUEEZING STEPS
       P1:  AREA OF THE TRIANGLE
       C:  HEIGHT OF THE PARALLELOGRAMS
       XM:  CENTER OF THE TRIANGLE
       XL:  LEFT END OF THE TRIANGLE
       XR:  RIGHT END OF THE TRIANGLE
       AL:  TEMPORARY VARIABLE
       XLL:  RATE FOR THE LEFT EXPONENTIAL TAIL
       XLR:  RATE FOR THE RIGHT EXPONENTIAL TAIL
       P2:  AREA OF THE PARALLELOGRAMS
       P3:  AREA OF THE LEFT EXPONENTIAL TAIL
       P4:  AREA OF THE RIGHT EXPONENTIAL TAIL
       U:  A U(0,P4) RANDOM VARIATE USED FIRST TO SELECT ONE OF THE
           FOUR REGIONS AND THEN CONDITIONALLY TO GENERATE A VALUE
           FROM THE REGION
       V:  A U(0,1) RANDOM NUMBER USED TO GENERATE THE RANDOM VALUE
           (REGION 1) OR TRANSFORMED INTO THE VARIATE TO ACCEPT OR
           REJECT THE CANDIDATE VALUE
       IX:  INTEGER CANDIDATE VALUE
       X:  PRELIMINARY CONTINUOUS CANDIDATE VALUE IN REGION 2 LOGIC
           AND A FLOATING POINT IX IN THE ACCEPT/REJECT LOGIC
       K:  ABSOLUTE VALUE OF (IX-M)
       F:  THE HEIGHT OF THE SCALED DENSITY FUNCTION USED IN THE
           ACCEPT/REJECT DECISION WHEN BOTH M AND IX ARE SMALL
           ALSO USED IN THE INVERSE TRANSFORMATION
       R: THE RATIO P/Q
       G: CONSTANT USED IN CALCULATION OF PROBABILITY
       MP:  MODE PLUS ONE, THE LOWER INDEX FOR EXPLICIT CALCULATION
            OF F WHEN IX IS GREATER THAN M
       IX1:  CANDIDATE VALUE PLUS ONE, THE LOWER INDEX FOR EXPLICIT
             CALCULATION OF F WHEN IX IS LESS THAN M
       I:  INDEX FOR EXPLICIT CALCULATION OF F FOR BTPE
       AMAXP: MAXIMUM ERROR OF THE LOGARITHM OF NORMAL BOUND
       YNORM: LOGARITHM OF NORMAL BOUND
       ALV:  NATURAL LOGARITHM OF THE ACCEPT/REJECT VARIATE V
       X1,F1,Z,W,Z2,X2,F2, AND W2 ARE TEMPORARY VARIABLES TO BE
       USED IN THE FINAL ACCEPT/REJECT TEST
       QN: PROBABILITY OF NO SUCCESS IN N TRIALS
     REMARK
       IX AND JX COULD LOGICALLY BE THE SAME VARIABLE, WHICH WOULD
       SAVE A MEMORY POSITION AND A LINE OF CODE.  HOWEVER, SOME
       COMPILERS (E.G.,CDC MNF) OPTIMIZE BETTER WHEN THE ARGUMENTS
       ARE NOT INVOLVED.
     ISEED NEEDS TO BE DOUBLE PRECISION IF THE IMSL ROUTINE
     GGUBFS IS USED TO GENERATE UNIFORM RANDOM NUMBER, OTHERWISE
     TYPE OF ISEED SHOULD BE DICTATED BY THE UNIFORM GENERATOR
**********************************************************************
*****DETERMINE APPROPRIATE ALGORITHM AND WHETHER SETUP IS NECESSARY
*/
{
/* JJV changed initial values to ridiculous values */
static float psave = -1.0E37;
static long nsave = -214748365;
static long ignbin,i,ix,ix1,k,m,mp,T1;
static float al,alv,amaxp,c,f,f1,f2,ffm,fm,g,p,p1,p2,p3,p4,q,qn,r,u,v,w,w2,x,x1,
    x2,xl,xll,xlr,xm,xnp,xnpq,xr,ynorm,z,z2;

    if(pp != psave) goto S10;
    if(n != nsave) goto S20;
    if(xnp < 30.0) goto S150;
    goto S30;
S10:
/*
*****SETUP, PERFORM ONLY WHEN PARAMETERS CHANGE
JJV added checks to ensure 0.0 <= PP <= 1.0
*/
    if(pp < 0.0F) ftnstop("PP < 0.0 in IGNBIN");
    if(pp > 1.0F) ftnstop("PP > 1.0 in IGNBIN");
    psave = pp;
    p = min(psave,1.0-psave);
    q = 1.0-p;
S20:
/*
JJV added check to ensure N >= 0
*/
    if(n < 0L) ftnstop("N < 0 in IGNBIN");
    xnp = n*p;
    nsave = n;
    if(xnp < 30.0) goto S140;
    ffm = xnp+p;
    m = ffm;
    fm = m;
    xnpq = xnp*q;
    p1 = (long) (2.195*sqrt(xnpq)-4.6*q)+0.5;
    xm = fm+0.5;
    xl = xm-p1;
    xr = xm+p1;
    c = 0.134+20.5/(15.3+fm);
    al = (ffm-xl)/(ffm-xl*p);
    xll = al*(1.0+0.5*al);
    al = (xr-ffm)/(xr*q);
    xlr = al*(1.0+0.5*al);
    p2 = p1*(1.0+c+c);
    p3 = p2+c/xll;
    p4 = p3+c/xlr;
S30:
/*
*****GENERATE VARIATE
*/
    u = ranf()*p4;
    v = ranf();
/*
     TRIANGULAR REGION
*/
    if(u > p1) goto S40;
    ix = xm-p1*v+u;
    goto S170;
S40:
/*
     PARALLELOGRAM REGION
*/
    if(u > p2) goto S50;
    x = xl+(u-p1)/c;
    v = v*c+1.0-ABS(xm-x)/p1;
    if(v > 1.0 || v <= 0.0) goto S30;
    ix = x;
    goto S70;
S50:
/*
     LEFT TAIL
*/
    if(u > p3) goto S60;
    ix = xl+log(v)/xll;
    if(ix < 0) goto S30;
    v *= ((u-p2)*xll);
    goto S70;
S60:
/*
     RIGHT TAIL
*/
    ix = xr-log(v)/xlr;
    if(ix > n) goto S30;
    v *= ((u-p3)*xlr);
S70:
/*
*****DETERMINE APPROPRIATE WAY TO PERFORM ACCEPT/REJECT TEST
*/
    k = ABS(ix-m);
    if(k > 20 && k < xnpq/2-1) goto S130;
/*
     EXPLICIT EVALUATION
*/
    f = 1.0;
    r = p/q;
    g = (n+1)*r;
    T1 = m-ix;
    if(T1 < 0) goto S80;
    else if(T1 == 0) goto S120;
    else  goto S100;
S80:
    mp = m+1;
    for(i=mp; i<=ix; i++) f *= (g/i-r);
    goto S120;
S100:
    ix1 = ix+1;
    for(i=ix1; i<=m; i++) f /= (g/i-r);
S120:
    if(v <= f) goto S170;
    goto S30;
S130:
/*
     SQUEEZING USING UPPER AND LOWER BOUNDS ON ALOG(F(X))
*/
    amaxp = k/xnpq*((k*(k/3.0+0.625)+0.1666666666666)/xnpq+0.5);
    ynorm = -(k*k/(2.0*xnpq));
    alv = log(v);
    if(alv < ynorm-amaxp) goto S170;
    if(alv > ynorm+amaxp) goto S30;
/*
     STIRLING'S FORMULA TO MACHINE ACCURACY FOR
     THE FINAL ACCEPTANCE/REJECTION TEST
*/
    x1 = ix+1.0;
    f1 = fm+1.0;
    z = n+1.0-fm;
    w = n-ix+1.0;
    z2 = z*z;
    x2 = x1*x1;
    f2 = f1*f1;
    w2 = w*w;
    if(alv <= xm*log(f1/x1)+(n-m+0.5)*log(z/w)+(ix-m)*log(w*p/(x1*q))+(13860.0-
      (462.0-(132.0-(99.0-140.0/f2)/f2)/f2)/f2)/f1/166320.0+(13860.0-(462.0-
      (132.0-(99.0-140.0/z2)/z2)/z2)/z2)/z/166320.0+(13860.0-(462.0-(132.0-
      (99.0-140.0/x2)/x2)/x2)/x2)/x1/166320.0+(13860.0-(462.0-(132.0-(99.0
      -140.0/w2)/w2)/w2)/w2)/w/166320.0) goto S170;
    goto S30;
S140:
/*
     INVERSE CDF LOGIC FOR MEAN LESS THAN 30
*/
    qn = pow(q,(double)n);
    r = p/q;
    g = r*(n+1);
S150:
    ix = 0;
    f = qn;
    u = ranf();
S160:
    if(u < f) goto S170;
    if(ix > 110) goto S150;
    u -= f;
    ix += 1;
    f *= (g/ix-r);
    goto S160;
S170:
    if(psave > 0.5) ix = n-ix;
    ignbin = ix;
    return ignbin;
}
long ignnbn(long n,float p)
/*
**********************************************************************
 
     long ignnbn(long n,float p)
                GENerate Negative BiNomial random deviate
                              Function
     Generates a single random deviate from a negative binomial
     distribution.
                              Arguments
     N  --> The number of trials in the negative binomial distribution
            from which a random deviate is to be generated.
	    JJV (N > 0)
     P  --> The probability of an event.
     JJV    (0.0 < P < 1.0)
                              Method
     Algorithm from page 480 of
 
     Devroye, Luc
 
     Non-Uniform Random Variate Generation.  Springer-Verlag,
     New York, 1986.
**********************************************************************
*/
{
static long ignnbn;
static float y,a,r;
/*
     ..
     .. Executable Statements ..
*/
/*
     Check Arguments
*/
    if(n <= 0L) ftnstop("N <= 0 in IGNNBN");
    if(p <= 0.0F) ftnstop("P <= 0.0 in IGNNBN");
    if(p >= 1.0F) ftnstop("P >= 1.0 in IGNNBN");
/*
     Generate Y, a random gamma (n,(1-p)/p) variable
     JJV Note: the above parametrization is consistent with Devroye,
     JJV       but gamma (p/(1-p),n) is the equivalent in our code
*/
    r = (float)n;
    a = p/(1.0F-p);
/*
 * JJV changed this to call SGAMMA directly
 *  y = gengam(a,r); <- OLD
 */
    y = sgamma(r)/a;
/*
     Generate a random Poisson(y) variable
*/
    ignnbn = ignpoi(y);
    return ignnbn;
}
long ignpoi(float mu)
/*
**********************************************************************
     long ignpoi(float mu)
                    GENerate POIsson random deviate
                              Function
     Generates a single random deviate from a Poisson
     distribution with mean MU.
                              Arguments
     mu --> The mean of the Poisson distribution from which
            a random deviate is to be generated.
	    (mu >= 0.0)
     ignpoi <-- The random deviate.
                              Method
     Renames KPOIS from TOMS as slightly modified by BWB to use RANF
     instead of SUNIF.
     For details see:
               Ahrens, J.H. and Dieter, U.
               Computer Generation of Poisson Deviates
               From Modified Normal Distributions.
               ACM Trans. Math. Software, 8, 2
               (June 1982),163-179
**********************************************************************
**********************************************************************
                                                                      
                                                                      
     P O I S S O N  DISTRIBUTION                                      
                                                                      
                                                                      
**********************************************************************
**********************************************************************
                                                                      
     FOR DETAILS SEE:                                                 
                                                                      
               AHRENS, J.H. AND DIETER, U.                            
               COMPUTER GENERATION OF POISSON DEVIATES                
               FROM MODIFIED NORMAL DISTRIBUTIONS.                    
               ACM TRANS. MATH. SOFTWARE, 8,2 (JUNE 1982), 163 - 179. 
                                                                      
     (SLIGHTLY MODIFIED VERSION OF THE PROGRAM IN THE ABOVE ARTICLE)  
                                                                      
**********************************************************************
      INTEGER FUNCTION IGNPOI(IR,MU)
     INPUT:  IR=CURRENT STATE OF BASIC RANDOM NUMBER GENERATOR
             MU=MEAN MU OF THE POISSON DISTRIBUTION
     OUTPUT: IGNPOI=SAMPLE FROM THE POISSON-(MU)-DISTRIBUTION
     MUPREV=PREVIOUS MU, MUOLD=MU AT LAST EXECUTION OF STEP P OR B.
     TABLES: COEFFICIENTS A0-A7 FOR STEP F. FACTORIALS FACT
     COEFFICIENTS A(K) - FOR PX = FK*V*V*SUM(A(K)*V**K)-DEL
     SEPARATION OF CASES A AND B
*/
{
extern float fsign( float num, float sign );
static float a0 = -0.5;
static float a1 = 0.3333333;
static float a2 = -0.2500068;
static float a3 = 0.2000118;
static float a4 = -0.1661269;
static float a5 = 0.1421878;
static float a6 = -0.1384794;
static float a7 = 0.125006;
/* JJV changed the initial values of MUPREV and MUOLD */
static float muold = -1.0E37;
static float muprev = -1.0E37;
static float fact[10] = {
    1.0,1.0,2.0,6.0,24.0,120.0,720.0,5040.0,40320.0,362880.0
};
/* JJV added ll to the list, for Case A */
static long ignpoi,j,k,kflag,l,ll,m;
static float b1,b2,c,c0,c1,c2,c3,d,del,difmuk,e,fk,fx,fy,g,omega,p,p0,px,py,q,s,
    t,u,v,x,xx,pp[35];

    if(mu == muprev) goto S10;
    if(mu < 10.0) goto S120;
/*
     C A S E  A. (RECALCULATION OF S,D,LL IF MU HAS CHANGED)
     JJV changed l in Case A to ll
*/
    muprev = mu;
    s = sqrt(mu);
    d = 6.0*mu*mu;
/*
             THE POISSON PROBABILITIES PK EXCEED THE DISCRETE NORMAL
             PROBABILITIES FK WHENEVER K >= M(MU). LL=IFIX(MU-1.1484)
             IS AN UPPER BOUND TO M(MU) FOR ALL MU >= 10 .
*/
    ll = (long) (mu-1.1484);
S10:
/*
     STEP N. NORMAL SAMPLE - SNORM(IR) FOR STANDARD NORMAL DEVIATE
*/
    g = mu+s*snorm();
    if(g < 0.0) goto S20;
    ignpoi = (long) (g);
/*
     STEP I. IMMEDIATE ACCEPTANCE IF IGNPOI IS LARGE ENOUGH
*/
    if(ignpoi >= ll) return ignpoi;
/*
     STEP S. SQUEEZE ACCEPTANCE - SUNIF(IR) FOR (0,1)-SAMPLE U
*/
    fk = (float)ignpoi;
    difmuk = mu-fk;
    u = ranf();
    if(d*u >= difmuk*difmuk*difmuk) return ignpoi;
S20:
/*
     STEP P. PREPARATIONS FOR STEPS Q AND H.
             (RECALCULATIONS OF PARAMETERS IF NECESSARY)
             .3989423=(2*PI)**(-.5)  .416667E-1=1./24.  .1428571=1./7.
             THE QUANTITIES B1, B2, C3, C2, C1, C0 ARE FOR THE HERMITE
             APPROXIMATIONS TO THE DISCRETE NORMAL PROBABILITIES FK.
             C=.1069/MU GUARANTEES MAJORIZATION BY THE 'HAT'-FUNCTION.
*/
    if(mu == muold) goto S30;
    muold = mu;
    omega = 0.3989423/s;
    b1 = 4.166667E-2/mu;
    b2 = 0.3*b1*b1;
    c3 = 0.1428571*b1*b2;
    c2 = b2-15.0*c3;
    c1 = b1-6.0*b2+45.0*c3;
    c0 = 1.0-b1+3.0*b2-15.0*c3;
    c = 0.1069/mu;
S30:
    if(g < 0.0) goto S50;
/*
             'SUBROUTINE' F IS CALLED (KFLAG=0 FOR CORRECT RETURN)
*/
    kflag = 0;
    goto S70;
S40:
/*
     STEP Q. QUOTIENT ACCEPTANCE (RARE CASE)