root/bdm/itpp_ext.cpp @ 37

//
// C++ Implementation: itpp_ext
//
// Description: 
//
//
// Author: smidl <smidl@utia.cas.cz>, (C) 2008
//
// Copyright: See COPYING file that comes with this distribution
//
//

#include <itpp/itbase.h>
#include "itpp_ext.h"

// from  algebra/lapack.h

extern "C" {  /* QR factorization of a general matrix A  */
  void dgeqrf_(int *m, int *n, double *a, int *lda, double *tau, double *work,
               int *lwork, int *info);
};

namespace itpp {
        Array<int> to_Arr(const ivec &indices)
    {
    Array<int> a(indices.size());
    for (int i = 0; i < a.size(); i++) {
      a(i) = indices(i);
    }
    return a;
  }

//Gamma

  Gamma_RNG::Gamma_RNG(double a, double b)
  {
    setup(a,b);
  }

#define log std::log
#define exp std::exp
#define sqrt std::sqrt
#define R_FINITE std::isfinite

double  Gamma_RNG::sample()
  {
  //A copy of rgamma code from the R package!!
  // 
  
/* Constants : */
    const static double sqrt32 = 5.656854;
    const static double exp_m1 = 0.36787944117144232159;/* exp(-1) = 1/e */

    /* Coefficients q[k] - for q0 = sum(q[k]*a^(-k))
     * Coefficients a[k] - for q = q0+(t*t/2)*sum(a[k]*v^k)
     * Coefficients e[k] - for exp(q)-1 = sum(e[k]*q^k)
     */
    const static double q1 = 0.04166669;
    const static double q2 = 0.02083148;
    const static double q3 = 0.00801191;
    const static double q4 = 0.00144121;
    const static double q5 = -7.388e-5;
    const static double q6 = 2.4511e-4;
    const static double q7 = 2.424e-4;

    const static double a1 = 0.3333333;
    const static double a2 = -0.250003;
    const static double a3 = 0.2000062;
    const static double a4 = -0.1662921;
    const static double a5 = 0.1423657;
    const static double a6 = -0.1367177;
    const static double a7 = 0.1233795;

    /* State variables [FIXME for threading!] :*/
    static double aa = 0.;
    static double aaa = 0.;
    static double s, s2, d;    /* no. 1 (step 1) */
    static double q0, b, si, c;/* no. 2 (step 4) */

    double e, p, q, r, t, u, v, w, x, ret_val;
    double a=alpha;
    double scale=1.0/beta;

    if (!R_FINITE(a) || !R_FINITE(scale) || a < 0.0 || scale <= 0.0)
        it_error("Gamma_RNG wrong parameters");

    if (a < 1.) { /* GS algorithm for parameters a < 1 */
        if(a == 0)
            return 0.;
        e = 1.0 + exp_m1 * a;
        for(;;) {  //VS repeat
            p = e * unif_rand();
            if (p >= 1.0) {
                x = -log((e - p) / a);
                if (exp_rand() >= (1.0 - a) * log(x))
                    break;
            } else {
                x = exp(log(p) / a);
                if (exp_rand() >= x)
                    break;
            }
        }
        return scale * x;
    }

    /* --- a >= 1 : GD algorithm --- */

    /* Step 1: Recalculations of s2, s, d if a has changed */
    if (a != aa) {
        aa = a;
        s2 = a - 0.5;
        s = sqrt(s2);
        d = sqrt32 - s * 12.0;
    }
    /* Step 2: t = standard normal deviate,
               x = (s,1/2) -normal deviate. */

    /* immediate acceptance (i) */
    t = norm_rand();
    x = s + 0.5 * t;
    ret_val = x * x;
    if (t >= 0.0)
        return scale * ret_val;

    /* Step 3: u = 0,1 - uniform sample. squeeze acceptance (s) */
    u = unif_rand();
    if ((d * u) <= (t * t * t))
        return scale * ret_val;

    /* Step 4: recalculations of q0, b, si, c if necessary */

    if (a != aaa) {
        aaa = a;
        r = 1.0 / a;
        q0 = ((((((q7 * r + q6) * r + q5) * r + q4) * r + q3) * r
               + q2) * r + q1) * r;

        /* Approximation depending on size of parameter a */
        /* The constants in the expressions for b, si and c */
        /* were established by numerical experiments */

        if (a <= 3.686) {
            b = 0.463 + s + 0.178 * s2;
            si = 1.235;
            c = 0.195 / s - 0.079 + 0.16 * s;
        } else if (a <= 13.022) {
            b = 1.654 + 0.0076 * s2;
            si = 1.68 / s + 0.275;
            c = 0.062 / s + 0.024;
        } else {
            b = 1.77;
            si = 0.75;
            c = 0.1515 / s;
        }
    }
    /* Step 5: no quotient test if x not positive */

    if (x > 0.0) {
        /* Step 6: calculation of v and quotient q */
        v = t / (s + s);
        if (fabs(v) <= 0.25)
            q = q0 + 0.5 * t * t * ((((((a7 * v + a6) * v + a5) * v + a4) * v
                                      + a3) * v + a2) * v + a1) * v;
        else
            q = q0 - s * t + 0.25 * t * t + (s2 + s2) * log(1.0 + v);


        /* Step 7: quotient acceptance (q) */
        if (log(1.0 - u) <= q)
            return scale * ret_val;
    }

    for(;;) { //VS repeat
        /* Step 8: e = standard exponential deviate
         *      u =  0,1 -uniform deviate
         *      t = (b,si)-double exponential (laplace) sample */
        e = exp_rand();
        u = unif_rand();
        u = u + u - 1.0;
        if (u < 0.0)
            t = b - si * e;
        else
            t = b + si * e;
        /* Step  9:  rejection if t < tau(1) = -0.71874483771719 */
        if (t >= -0.71874483771719) {
            /* Step 10:  calculation of v and quotient q */
            v = t / (s + s);
            if (fabs(v) <= 0.25)
                q = q0 + 0.5 * t * t *
                    ((((((a7 * v + a6) * v + a5) * v + a4) * v + a3) * v
                      + a2) * v + a1) * v;
            else
                q = q0 - s * t + 0.25 * t * t + (s2 + s2) * log(1.0 + v);
            /* Step 11:  hat acceptance (h) */
            /* (if q not positive go to step 8) */
            if (q > 0.0) {
                // TODO: w = expm1(q);
                w = exp(q)-1;
                /*  ^^^^^ original code had approximation with rel.err < 2e-7 */
                /* if t is rejected sample again at step 8 */
                if ((c * fabs(u)) <= (w * exp(e - 0.5 * t * t)))
                    break;
            }
        }
    } /* repeat .. until  `t' is accepted */
    x = s + 0.5 * t;
    return scale * x * x;
}


  bool qr(const mat &A, mat &R)
  {
    int info;
    int m = A.rows();
    int n = A.cols();
    int lwork = n;
    int k = std::min(m, n);
    vec tau(k);
    vec work(lwork);

    R = A;

    // perform workspace query for optimum lwork value
    int lwork_tmp = -1;
    dgeqrf_(&m, &n, R._data(), &m, tau._data(), work._data(), &lwork_tmp,
            &info);
    if (info == 0) {
      lwork = static_cast<int>(work(0));
      work.set_size(lwork, false);
    }
    dgeqrf_(&m, &n, R._data(), &m, tau._data(), work._data(), &lwork, &info);

    // construct R
    for (int i=0; i<m; i++)
      for (int j=0; j<std::min(i,n); j++)
        R(i,j) = 0;

    return (info==0);
  }

}