Class: RV::Normal

Inherits:
Object
  • Object
show all
Includes:
RV_Generator
Defined in:
lib/random_variates.rb

Overview

Normal/Gaussian random variate generator with specified mean and standard deviation. Defaults to a standard normal.

Arguments

  • mu -> the expected value (default: 0).

  • sigma -> the standard deviation (default: 1).

  • rng -> the (Enumerable) source of U(0, 1)‘s (default: U_GENERATOR)

Constant Summary collapse

BOUND = 
2.0 * Math.sqrt(2.0 / Math::E)

Instance Attribute Summary collapse

Instance Method Summary collapse

Methods included from RV_Generator

#each

Constructor Details

#initialize(mu: 0.0, sigma: 1.0, rng: U_GENERATOR) ⇒ Normal

Returns a new instance of Normal.



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# File 'lib/random_variates.rb', line 188

def initialize(mu: 0.0, sigma: 1.0, rng: U_GENERATOR)
  raise 'Standard deviation must be positive.' if sigma <= 0

  @mu = mu
  @sigma = sigma
  @rng = rng
end

Instance Attribute Details

#mu ⇒ Object

Returns the value of attribute mu.



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# File 'lib/random_variates.rb', line 186

def mu
  @mu
end

#sigma ⇒ Object

Returns the value of attribute sigma.



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# File 'lib/random_variates.rb', line 186

def sigma
  @sigma
end

Instance Method Details

#next ⇒ Object 



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# File 'lib/random_variates.rb', line 196

def next
  while true
    u = @rng.rand
    next if u == 0.0
    v = BOUND * (@rng.rand - 0.5)
    x = v / u
    x_sqr = x * x
    u_sqr = u * u
    if 6.0 * x_sqr <= 44.0 - 72.0 * u + 36.0 * u_sqr - 8.0 * u * u_sqr
      return @sigma * x + @mu
    elsif x_sqr * u >= 2.0 - 2.0 * u_sqr
      next
    elsif x_sqr <= -4.0 * Math.log(u)
      return @sigma * x + @mu
    end
  end
end