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geant4/source/externals/clhep/src/RandPoissonQ.cc
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2016-06-10 12:08:39 +02:00

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// $Id:$
// -*- C++ -*-
//
// -----------------------------------------------------------------------
// HEP Random
// --- RandPoissonQ ---
// class implementation file
// -----------------------------------------------------------------------
// =======================================================================
// M. Fischler - Implemented new, much faster table-driven algorithm
// applicable for mu < 100
// - Implemented "quick()" methods, shich are the same as the
// new methods for mu < 100 and are a skew-corrected gaussian
// approximation for large mu.
// M. Fischler - Removed mean=100 from the table-driven set, since it
// uses a value just off the end of the table. (April 2004)
// M Fischler - put and get to/from streams 12/15/04
// M Fischler - Utilize RandGaussQ rather than RandGauss, as clearly
// intended by the inclusion of RandGaussQ.h. Using RandGauss
// introduces a subtle trap in that the state of RandPoissonQ
// can never be properly captured without also saveing the
// state of RandGauss! RandGaussQ is, on the other hand,
// stateless except for the engine used.
// M Fisculer - Modified use of wrong engine when shoot (anEngine, mean)
// is called. This flaw was preventing any hope of proper
// saving and restoring in the instance cases.
// M Fischler - fireArray using defaultMean 2/10/05
// M Fischler - put/get to/from streams uses pairs of ulongs when
// + storing doubles avoid problems with precision
// 4/14/05
// M Fisculer - Modified use of shoot (mean) instead of
// shoot(getLocalEngine(), mean) when fire(mean) is called.
// This flaw was causing bad "cross-talk" between modules
// in CMS, where one used its own engine, and the other
// used the static generator. 10/18/07
//
// =======================================================================
#include "CLHEP/Random/RandPoissonQ.h"
#include "CLHEP/Random/RandGaussQ.h"
#include "CLHEP/Random/DoubConv.h"
#include "CLHEP/Random/Stat.h"
#include "CLHEP/Utility/thread_local.h"
#include <cmath> // for std::pow()
namespace CLHEP {
std::string RandPoissonQ::name() const {return "RandPoissonQ";}
HepRandomEngine & RandPoissonQ::engine() {return RandPoisson::engine();}
// Initialization of static data: Note that this is all const static data,
// so that saveEngineStatus properly saves all needed information.
// The following MUST MATCH the corresponding values used (in
// poissonTables.cc) when poissonTables.cdat was created.
const double RandPoissonQ::FIRST_MU = 10;// lowest mu value in table
const double RandPoissonQ::LAST_MU = 95;// highest mu value
const double RandPoissonQ::S = 5; // Spacing between mu values
const int RandPoissonQ::BELOW = 30; // Starting point for N is at mu - BELOW
const int RandPoissonQ::ENTRIES = 51; // Number of entries in each mu row
const double RandPoissonQ::MAXIMUM_POISSON_DEVIATE = 2.0E9;
// Careful -- this is NOT the maximum number that can be held in
// a long. It actually should be some large number of sigma below
// that.
// Here comes the big (9K bytes) table, kept in a file of
// ENTRIES * (FIRST_MU - LAST_MU + 1)/S doubles
static const double poissonTables [ 51 * ( (95-10)/5 + 1 ) ] = {
#include "CLHEP/Random/poissonTables.cdat"
};
//
// Constructors and destructors:
//
RandPoissonQ::~RandPoissonQ() {
}
void RandPoissonQ::setupForDefaultMu() {
// The following are useful for quick approximation, for large mu
double sig2 = defaultMean * (.9998654 - .08346/defaultMean);
sigma = std::sqrt(sig2);
// sigma for the Guassian which approximates the Poisson -- naively
// sqrt (defaultMean).
//
// The multiplier corrects for fact that discretization of the form
// [gaussian+.5] increases the second moment by a small amount.
double t = 1./(sig2);
a2 = t/6 + t*t/324;
a1 = std::sqrt (1-2*a2*a2*sig2);
a0 = defaultMean + .5 - sig2 * a2;
// The formula will be a0 + a1*x + a2*x*x where x has 2nd moment of sigma.
// The coeffeicients are chosen to match the first THREE moments of the
// true Poisson distribution.
//
// Actually, if the correction for discretization were not needed, then
// a2 could be taken one order higher by adding t*t*t/5832. However,
// the discretization correction is not perfect, leading to inaccuracy
// on the order to 1/mu**2, so adding a third term is overkill.
} // setupForDefaultMu()
//
// fire, quick, operator(), and shoot methods:
//
long RandPoissonQ::shoot(double xm) {
return shoot(getTheEngine(), xm);
}
double RandPoissonQ::operator()() {
return (double) fire();
}
double RandPoissonQ::operator()( double mean ) {
return (double) fire(mean);
}
long RandPoissonQ::fire(double mean) {
return shoot(getLocalEngine(), mean);
}
long RandPoissonQ::fire() {
if ( defaultMean < LAST_MU + S ) {
return poissonDeviateSmall ( getLocalEngine(), defaultMean );
} else {
return poissonDeviateQuick ( getLocalEngine(), a0, a1, a2, sigma );
}
} // fire()
long RandPoissonQ::shoot(HepRandomEngine* anEngine, double mean) {
// The following variables, static to this method, apply to the
// last time a large mean was supplied; they obviate certain calculations
// if consecutive calls use the same mean.
static CLHEP_THREAD_LOCAL double lastLargeMean = -1.; // Mean from previous shoot
// requiring poissonDeviateQuick()
static CLHEP_THREAD_LOCAL double lastA0;
static CLHEP_THREAD_LOCAL double lastA1;
static CLHEP_THREAD_LOCAL double lastA2;
static CLHEP_THREAD_LOCAL double lastSigma;
if ( mean < LAST_MU + S ) {
return poissonDeviateSmall ( anEngine, mean );
} else {
if ( mean != lastLargeMean ) {
// Compute the coefficients defining the quadratic transformation from a
// Gaussian to a Poisson for this mean. Also save these for next time.
double sig2 = mean * (.9998654 - .08346/mean);
lastSigma = std::sqrt(sig2);
double t = 1./sig2;
lastA2 = t*(1./6.) + t*t*(1./324.);
lastA1 = std::sqrt (1-2*lastA2*lastA2*sig2);
lastA0 = mean + .5 - sig2 * lastA2;
}
return poissonDeviateQuick ( anEngine, lastA0, lastA1, lastA2, lastSigma );
}
} // shoot (anEngine, mean)
void RandPoissonQ::shootArray(const int size, long* vect, double m) {
for( long* v = vect; v != vect + size; ++v )
*v = shoot(m);
// Note: We could test for m > 100, and if it is, precompute a0, a1, a2,
// and sigma and call the appropriate form of poissonDeviateQuick.
// But since those are cached anyway, not much time would be saved.
}
void RandPoissonQ::fireArray(const int size, long* vect, double m) {
for( long* v = vect; v != vect + size; ++v )
*v = fire( m );
}
void RandPoissonQ::fireArray(const int size, long* vect) {
for( long* v = vect; v != vect + size; ++v )
*v = fire( defaultMean );
}
// Quick Poisson deviate algorithm used by quick for large mu:
long RandPoissonQ::poissonDeviateQuick ( HepRandomEngine *e, double mu ) {
// Compute the coefficients defining the quadratic transformation from a
// Gaussian to a Poisson:
double sig2 = mu * (.9998654 - .08346/mu);
double sig = std::sqrt(sig2);
// The multiplier corrects for fact that discretization of the form
// [gaussian+.5] increases the second moment by a small amount.
double t = 1./sig2;
double sa2 = t*(1./6.) + t*t*(1./324.);
double sa1 = std::sqrt (1-2*sa2*sa2*sig2);
double sa0 = mu + .5 - sig2 * sa2;
// The formula will be sa0 + sa1*x + sa2*x*x where x has sigma of sq.
// The coeffeicients are chosen to match the first THREE moments of the
// true Poisson distribution.
return poissonDeviateQuick ( e, sa0, sa1, sa2, sig );
}
long RandPoissonQ::poissonDeviateQuick ( HepRandomEngine *e,
double A0, double A1, double A2, double sig) {
//
// Quick Poisson deviate algorithm used by quick for large mu:
//
// The principle: For very large mu, a poisson distribution can be approximated
// by a gaussian: return the integer part of mu + .5 + g where g is a unit
// normal. However, this yelds a miserable approximation at values as
// "large" as 100. The primary problem is that the poisson distribution is
// supposed to have a skew of 1/mu**2, and the zero skew of the Guassian
// leads to errors of order as big as 1/mu**2.
//
// We substitute for the gaussian a quadratic function of that gaussian random.
// The expression looks very nearly like mu + .5 - 1/6 + g + g**2/(6*mu).
// The small positive quadratic term causes the resulting variate to have
// a positive skew; the -1/6 constant term is there to correct for this bias
// in the mean. By adjusting these two and the linear term, we can match the
// first three moments to high accuracy in 1/mu.
//
// The sigma used is not precisely sqrt(mu) since a rounded-off Gaussian
// has a second moment which is slightly larger than that of the Gaussian.
// To compensate, sig is multiplied by a factor which is slightly less than 1.
// double g = RandGauss::shootQuick( e ); // TEMPORARY MOD:
double g = RandGaussQ::shoot( e ); // Unit normal
g *= sig;
double p = A2*g*g + A1*g + A0;
if ( p < 0 ) return 0; // Shouldn't ever possibly happen since
// mean should not be less than 100, but
// we check due to paranoia.
if ( p > MAXIMUM_POISSON_DEVIATE ) p = MAXIMUM_POISSON_DEVIATE;
return long(p);
} // poissonDeviateQuick ()
long RandPoissonQ::poissonDeviateSmall (HepRandomEngine * e, double mean) {
long N1;
long N2;
// The following are for later use to form a secondary random s:
double rRange; // This will hold the interval between cdf for the
// computed N1 and cdf for N1+1.
double rRemainder = 0; // This will hold the length into that interval.
// Coming in, mean should not be more than LAST_MU + S. However, we will
// be paranoid and test for this:
if ( mean > LAST_MU + S ) {
return RandPoisson::shoot(e, mean);
}
if (mean <= 0) {
return 0; // Perhaps we ought to balk harder here!
}
// >>> 1 <<<
// Generate the first random, which we always will need.
double r = e->flat();
// >>> 2 <<<
// For small mean, below the start of the tables,
// do the series for cdf directly.
// In this case, since we know the series will terminate relatively quickly,
// almost alwaye use a precomputed 1/N array without fear of overrunning it.
static const double oneOverN[50] =
{ 0, 1., 1/2., 1/3., 1/4., 1/5., 1/6., 1/7., 1/8., 1/9.,
1/10., 1/11., 1/12., 1/13., 1/14., 1/15., 1/16., 1/17., 1/18., 1/19.,
1/20., 1/21., 1/22., 1/23., 1/24., 1/25., 1/26., 1/27., 1/28., 1/29.,
1/30., 1/31., 1/32., 1/33., 1/34., 1/35., 1/36., 1/37., 1/38., 1/39.,
1/40., 1/41., 1/42., 1/43., 1/44., 1/45., 1/46., 1/47., 1/48., 1/49. };
if ( mean < FIRST_MU ) {
long N = 0;
double term = std::exp(-mean);
double cdf = term;
if ( r < (1 - 1.0E-9) ) {
//
// **** This is a normal path: ****
//
// Except when r is very close to 1, it is certain that we will exceed r
// before the 30-th term in the series, so a simple while loop is OK.
const double* oneOverNptr = oneOverN;
while( cdf <= r ) {
N++ ;
oneOverNptr++;
term *= ( mean * (*oneOverNptr) );
cdf += term;
}
return N;
//
// **** ****
//
} else { // r is almost 1...
// For r very near to 1 we would have to check that we don't fall
// off the end of the table of 1/N. Since this is very rare, we just
// ignore the table and do the identical while loop, using explicit
// division.
double cdf0;
while ( cdf <= r ) {
N++ ;
term *= ( mean / N );
cdf0 = cdf;
cdf += term;
if (cdf == cdf0) break; // Can't happen, but just in case...
}
return N;
} // end of if ( r compared to (1 - 1.0E-9) )
} // End of the code for mean < FIRST_MU
// >>> 3 <<<
// Find the row of the tables corresponding to the highest tabulated mu
// which is no greater than our actual mean.
int rowNumber = int((mean - FIRST_MU)/S);
const double * cdfs = &poissonTables [rowNumber*ENTRIES];
double mu = FIRST_MU + rowNumber*S;
double deltaMu = mean - mu;
int Nmin = int(mu - BELOW);
if (Nmin < 1) Nmin = 1;
int Nmax = Nmin + (ENTRIES - 1);
// >>> 4 <<<
// If r is less that the smallest entry in the row, then
// generate the deviate directly from the series.
if ( r < cdfs[0] ) {
// In this case, we are tempted to use the actual mean, and not
// generate a second deviate to account for the leftover part mean - mu.
// That would be an error, generating a distribution with enough excess
// at Nmin + (mean-mu)/2 to be detectable in 4,000,000 trials.
// Since this case is very rare (never more than .2% of the r values)
// and can happen where N will be large (up to 65 for the mu=95 row)
// we use explicit division so as to avoid having to worry about running
// out of oneOverN table.
long N = 0;
double term = std::exp(-mu);
double cdf = term;
double cdf0;
while(cdf <= r) {
N++ ;
term *= ( mu / N );
cdf0 = cdf;
cdf += term;
if (cdf == cdf0) break; // Can't happen, but just in case...
}
N1 = N;
// std::cout << r << " " << N << " ";
// DBG_small = true;
rRange = 0; // In this case there is always a second r needed
} // end of small-r case
// >>> 5 <<<
// Assuming r lies within the scope of the row for this mu, find the
// largest entry not greater than r. N1 is the N corresponding to the
// index a.
else if ( r < cdfs[ENTRIES-1] ) { // r is also >= cdfs[0]
//
// **** This is the normal code path ****
//
int a = 0; // Highest value of index such that cdfs[a]
// is known NOT to be greater than r.
int b = ENTRIES - 1; // Lowest value of index such that cdfs[b] is
// known to exeed r.
while (b != (a+1) ) {
int c = (a+b+1)>>1;
if (r > cdfs[c]) {
a = c;
} else {
b = c;
}
}
N1 = Nmin + a;
rRange = cdfs[a+1] - cdfs[a];
rRemainder = r - cdfs[a];
//
// **** ****
//
} // end of medium-r (normal) case
// >>> 6 <<<
// If r exceeds the greatest entry in the table for this mu, then start
// from that cdf, and use the series to compute from there until r is
// exceeded.
else { // if ( r >= cdfs[ENTRIES-1] ) {
// Here, division must be done explicitly, and we must also protect against
// roundoff preventing termination.
//
//+++ cdfs[ENTRIES-1] is exp(-mu) sum (mu**m/m! , m=0 to Nmax)
//+++ (where Nmax = mu - BELOW + ENTRIES - 1)
//+++ cdfs[ENTRIES-1]-cdfs[ENTRIES-2] is exp(-mu) mu**(Nmax)/(Nmax)!
//+++ If the sum up to k-1 <= r < sum up to k, then N = k-1
//+++ Consider k = Nmax in the above statement:
//+++ If cdfs[ENTRIES-2] <= r < cdfs[ENTRIES-1], N would be Nmax-1
//+++ But here r >= cdfs[ENTRIES-1] so N >= Nmax
//
// Erroneous:
//+++ cdfs[ENTRIES-1] is exp(-mu) sum (mu**m/m! , m=0 to Nmax-1)
//+++ cdfs[ENTRIES-1]-cdfs[ENTRIES-2] is exp(-mu) mu**(Nmax-1)/(Nmax-1)!
//+++ If a sum up to k-1 <= r < sum up to k, then N = k-1
//+++ So if cdfs[ENTRIES-1] were > r, N would be Nmax-1 (or less)
//+++ But here r >= cdfs[ENTRIES-1] so N >= Nmax
//
// std::cout << "r = " << r << " mu = " << mu << "\n";
long N = Nmax -1;
double cdf = cdfs[ENTRIES-1];
double term = cdf - cdfs[ENTRIES-2];
double cdf0;
while(cdf <= r) {
N++ ;
// std::cout << " N " << N << " term " <<
// term << " cdf " << cdf << "\n";
term *= ( mu / N );
cdf0 = cdf;
cdf += term;
if (cdf == cdf0) break; // If term gets so small cdf stops increasing,
// terminate using that value of N since we
// would never reach r.
}
N1 = N;
rRange = 0; // We can't validly omit the second true random
// N = Nmax -1;
// cdf = cdfs[ENTRIES-1];
// term = cdf - cdfs[ENTRIES-2];
// for (int isxz=0; isxz < 100; isxz++) {
// N++ ;
// term *= ( mu / N );
// cdf0 = cdf;
// cdf += term;
// }
// std::cout.precision(20);
// std::cout << "Final sum is " << cdf << "\n";
} // end of large-r case
// >>> 7 <<<
// Form a second random, s, based on the position of r within the range
// of this table entry to the next entry.
// However, if this range is very small, then we lose too many bits of
// randomness. In that situation, we generate a second random for s.
double s;
static const double MINRANGE = .01; // Sacrifice up to two digits of
// randomness when using r to produce
// a second random s. Leads to up to
// .09 extra randoms each time.
if ( rRange > MINRANGE ) {
//
// **** This path taken 90% of the time ****
//
s = rRemainder / rRange;
} else {
s = e->flat(); // extra true random needed about one time in 10.
}
// >>> 8 <<<
// Use the direct summation method to form a second poisson deviate N2
// from deltaMu and s.
N2 = 0;
double term = std::exp(-deltaMu);
double cdf = term;
if ( s < (1 - 1.0E-10) ) {
//
// This is the normal path:
//
const double* oneOverNptr = oneOverN;
while( cdf <= s ) {
N2++ ;
oneOverNptr++;
term *= ( deltaMu * (*oneOverNptr) );
cdf += term;
}
} else { // s is almost 1...
while( cdf <= s ) {
N2++ ;
term *= ( deltaMu / N2 );
cdf += term;
}
} // end of if ( s compared to (1 - 1.0E-10) )
// >>> 9 <<<
// The result is the sum of those two deviates
// if (DBG_small) {
// std::cout << N2 << " " << N1+N2 << "\n";
// DBG_small = false;
// }
return N1 + N2;
} // poissonDeviate()
std::ostream & RandPoissonQ::put ( std::ostream & os ) const {
int pr=os.precision(20);
std::vector<unsigned long> t(2);
os << " " << name() << "\n";
os << "Uvec" << "\n";
t = DoubConv::dto2longs(a0);
os << a0 << " " << t[0] << " " << t[1] << "\n";
t = DoubConv::dto2longs(a1);
os << a1 << " " << t[0] << " " << t[1] << "\n";
t = DoubConv::dto2longs(a2);
os << a2 << " " << t[0] << " " << t[1] << "\n";
t = DoubConv::dto2longs(sigma);
os << sigma << " " << t[0] << " " << t[1] << "\n";
RandPoisson::put(os);
os.precision(pr);
return os;
#ifdef REMOVED
int pr=os.precision(20);
os << " " << name() << "\n";
os << a0 << " " << a1 << " " << a2 << "\n";
os << sigma << "\n";
RandPoisson::put(os);
os.precision(pr);
return os;
#endif
}
std::istream & RandPoissonQ::get ( std::istream & is ) {
std::string inName;
is >> inName;
if (inName != name()) {
is.clear(std::ios::badbit | is.rdstate());
std::cerr << "Mismatch when expecting to read state of a "
<< name() << " distribution\n"
<< "Name found was " << inName
<< "\nistream is left in the badbit state\n";
return is;
}
if (possibleKeywordInput(is, "Uvec", a0)) {
std::vector<unsigned long> t(2);
is >> a0 >> t[0] >> t[1]; a0 = DoubConv::longs2double(t);
is >> a1 >> t[0] >> t[1]; a1 = DoubConv::longs2double(t);
is >> a2 >> t[0] >> t[1]; a2 = DoubConv::longs2double(t);
is >> sigma >> t[0] >> t[1]; sigma = DoubConv::longs2double(t);
RandPoisson::get(is);
return is;
}
// is >> a0 encompassed by possibleKeywordInput
is >> a1 >> a2 >> sigma;
RandPoisson::get(is);
return is;
}
} // namespace CLHEP