dtnorm.c File Reference

Pseudorandom numbers from a truncated Gaussian distribution. More...

#include <math.h>
#include <stdio.h>
#include <stdbool.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>
#include <gsl/gsl_sf_erf.h>
#include <assert.h>
#include "dtnorm.h"
#include "dtnorm_data.h"

Functions
double	yl (int k)
double	dtexp (gsl_rng *rng, double a, double b)
	Rejection algorithm with a truncated exponential proposal.
double	dtnorm (const double mu, const double sigma, double a, double b, gsl_rng *rng)
	Pseudorandom numbers from a truncated Gaussian distribution. More...

Variables
int	N = 4001

Detailed Description

Pseudorandom numbers from a truncated Gaussian distribution.

Author

Alan R. Rogers

This code began with C++ original written by G. Dolle and V Mazet, which is available at http://miv.u-strasbg.fr/mazet/rtnorm/rtnormCpp.zip. That original code implemented several methods, including Chopin's algorithm (2011. Stat Comput. 21:275-288). Different methods were used in different regions of parameter space.

My own numerical experiments indicated that this method can be improved by changing the criteria used in selecting algorithms. In some regions of parameter space, it is best to use Robert's method (1995. Statistics and Computing, 5(2):121). The current code implements the revised method in C.

Copyright (C) 2012 Guillaume Dollé, Vincent Mazet (LSIIT, CNRS/Université de Strasbourg) Version 2012-07-04, Contact: vince.nosp@m.nt.m.nosp@m.azet@.nosp@m.unis.nosp@m.tra.f.nosp@m.r

06/07/2012:

• first launch of rtnorm.cpp

Licence: GNU General Public License Version 2 This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. 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 GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, see http://www.gnu.org/licenses/old-licenses/gpl-2.0.txt

Depends: LibGSL OS: Unix based system

Function Documentation

dtnorm()

double dtnorm	(	const double	mu,
		const double	sigma,
		double	a,
		double	b,
		gsl_rng *	rng
	)

Pseudorandom numbers from a truncated Gaussian distribution.

Parameters

[in]	mu	mean of underlying Gaussian distribution.
[in]	sigma	standard deviation of underlying Gaussian
[in]	a	lower end of truncation interval
[in]	b	upper end of truncation interval
[in,out]	rng	GSL random number generator

Returns

truncated Gaussian random variate