MersenneTwister.h

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// MersenneTwister.h
// Mersenne Twister random number generator -- a C++ class MTRand
// Based on code by Makoto Matsumoto, Takuji Nishimura, and Shawn Cokus
// Richard J. Wagner  v1.0  15 May 2003  rjwagner@writeme.com

// Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura,
// Copyright (C) 2000 - 2003, Richard J. Wagner
// Copyright (C) 2005 - 2008, Serge Iovleff
// All rights reserved.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided that the following conditions
// are met:
//
//   1. Redistributions of source code must retain the above copyright
//      notice, this list of conditions and the following disclaimer.
//
//   2. Redistributions in binary form must reproduce the above copyright
//      notice, this list of conditions and the following disclaimer in
//      the  documentation and/or other materials provided with the
//      distribution.
//
//   3. The names of its contributors may not be used to endorse or
//      promote products derived from this software without specific prior
//      written permission.
//
// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
// "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
// LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
// A PARTICULAR PURPOSE ARE DISCLAIMED.  IN NO EVENT SHALL THE COPYRIGHT
// OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
// SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
// LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
// DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
// THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
// (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
// OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

// The original code included the following notice:
//
//     When you use this, send an email to: matumoto@math.keio.ac.jp
//     with an appropriate reference to your work.
//
// It would be nice to CC: rjwagner@writeme.com
//                     and Cokus@math.washington.edu
// when you write.
//
// Also it would be nice to cc to serge.iovleff@stkpp.org
// if you are using this code.
//
#ifndef MERSENNETWISTER_H
#define MERSENNETWISTER_H

#include <iostream>
#include <limits.h>
#include <stdio.h>
#include <time.h>
#include <math.h>

#include "STK_Const_Math.h" // for _2PI_

class MTRand
{
  // Data
  public:
    typedef unsigned long uint32;

    enum { N = 624 };       
    enum { SAVE = N + 1 };  

  protected:
    enum { M = 397 };  

    uint32 state[N];   
    uint32 *pNext;     
    int left;          

  //Methods
  public:
    inline MTRand( const uint32& oneSeed )
    { seed(oneSeed); }

    inline MTRand( uint32 *const bigSeed, uint32 const seedLength = N )
    { seed(bigSeed,seedLength); }

    inline MTRand()
    { seed(); }

    inline double rand()
    { return double(randInt()) * (1.0/4294967295.0); }

    inline double rand( const double& n )
    { return rand() * n; }

    inline double randExc()
    { return double(randInt()) * (1.0/4294967296.0); }

    inline double randExc( const double& n )
    { return randExc() * n; }

    inline double randDblExc()
    { return ( double(randInt()) + 0.5 ) * (1.0/4294967296.0); }

    inline double randDblExc( const double& n )
    { return randDblExc() * n; }

    inline uint32 randInt()
    {
      // Pull a 32-bit integer from the generator state
      // Every other access function simply transforms the numbers
      // extracted here
      if( left == 0 ) reload();
      --left;

      register uint32 s1;
      s1  = *pNext++;
      s1 ^= (s1 >> 11);
      s1 ^= (s1 <<  7) & 0x9d2c5680UL;
      s1 ^= (s1 << 15) & 0xefc60000UL;
      return ( s1 ^ (s1 >> 18) );
    }
    inline double operator()() { return rand(); }

    inline uint32 randInt( const uint32& n )
    {
      // Find which bits are used in n
      // Optimized by Magnus Jonsson (magnus@smartelectronix.com)
      uint32 used = n;
      used |= used >> 1;
      used |= used >> 2;
      used |= used >> 4;
      used |= used >> 8;
      used |= used >> 16;

      // Draw numbers until one is found in [0,n]
      uint32 i;
      do
          i = randInt() & used;  // toss unused bits to shorten search
      while( i > n );
      return i;
    }

    inline double rand53()
    {
      uint32 a = randInt() >> 5, b = randInt() >> 6;
      // by Isaku Wada
      return ( a * 67108864.0 + b ) * (1.0/9007199254740992.0);
    }

    inline double randNorm( const double& mean, const double& variance )
    {
      double r = sqrt( -2.0 * log( 1.0-randDblExc()) ) * variance;
      double phi = STK::Const::_2PI_ * randExc();
      return mean + r * cos(phi);
    }

    inline void seed( const uint32 oneSeed )
    {
      initialize(oneSeed);
      reload();
    }

    inline void seed( uint32 *const bigSeed, const uint32 seedLength )
    {
      initialize(19650218UL);
      register int i = 1;
      register uint32 j = 0;
      register int k = ( N > seedLength ? N : seedLength );
      for( ; k; --k )
      {
        state[i] =
            state[i] ^ ( (state[i-1] ^ (state[i-1] >> 30)) * 1664525UL );
        state[i] += ( bigSeed[j] & 0xffffffffUL ) + j;
        state[i] &= 0xffffffffUL;
        ++i;  ++j;
        if( i >= N ) { state[0] = state[N-1];  i = 1; }
        if( j >= seedLength ) j = 0;
      }
      for( k = N - 1; k; --k )
      {
        state[i] =
          state[i] ^ ( (state[i-1] ^ (state[i-1] >> 30)) * 1566083941UL );
        state[i] -= i;
        state[i] &= 0xffffffffUL;
        ++i;
        if( i >= N ) { state[0] = state[N-1];  i = 1; }
      }
      state[0] = 0x80000000UL;// MSB is 1, assuring non-zero initial array
      reload();
    }

    inline void seed()
    {
      // First try getting an array from /dev/urandom
      FILE* urandom = fopen( "/dev/urandom", "rb" );
      if( urandom )
      {
          uint32 bigSeed[N];
          register uint32 *s = bigSeed;
          register int i = N;
          register bool success = true;
          while( success && i-- )
              success = fread( s++, sizeof(uint32), 1, urandom );
          fclose(urandom);
          if( success ) { seed( bigSeed, N );  return; }
      }

      // Was not successful, so use time() and clock() instead
      seed( hash( time(NULL), clock() ) );
    }

    inline void save( uint32* saveArray ) const
    {
      register uint32 *sa = saveArray;
      register const uint32 *s = state;
      register int i = N;
      for( ; i--; *sa++ = *s++ ) {}
      *sa = left;
    }

    inline void load( uint32 *const loadArray )
    {
      register uint32 *s = state;
      register uint32 *la = loadArray;
      register int i = N;
      for( ; i--; *s++ = *la++ ) {}
      left = *la;
      pNext = &state[N-left];
    }

    friend std::ostream& operator<<( std::ostream& os
                                   , const MTRand& mtrand );
    friend std::istream& operator>>( std::istream& is
                                   , MTRand& mtrand );

  protected:
    inline void initialize( const uint32 seed )
    {
      register uint32 *s = state;
      register uint32 *r = state;
      register int i = 1;
      *s++ = seed & 0xffffffffUL;
      for( ; i < N; ++i )
      {
        *s++ = ( 1812433253UL * ( *r ^ (*r >> 30) ) + i ) & 0xffffffffUL;
        r++;
      }
    }

    inline void reload()
    {
      register uint32 *p = state;
      register int i;
      for( i = N - M; i--; ++p )
        *p = twist( p[M], p[0], p[1] );
      for( i = M; --i; ++p )
        *p = twist( p[M-N], p[0], p[1] );
      *p = twist( p[M-N], p[0], state[0] );

      left = N, pNext = state;
    }
    inline uint32 hiBit( const uint32& u ) const
    { return u & 0x80000000UL; }

    inline uint32 loBit( const uint32& u ) const
    { return u & 0x00000001UL; }

    inline uint32 loBits( const uint32& u ) const
    { return u & 0x7fffffffUL; }

    inline uint32 mixBits( const uint32& u, const uint32& v ) const
    { return hiBit(u) | loBits(v); }

    inline uint32 twist( const uint32& m, const uint32& s0, const uint32& s1 ) const
    { return m ^ (mixBits(s0,s1)>>1) ^ (-loBit(s1) & 0x9908b0dfUL); }

    static inline uint32 hash( time_t t, clock_t c )
    {
      static uint32 differ = 0;  // guarantee time-based seeds will change

      uint32 h1 = 0;
      unsigned char *p = (unsigned char *) &t;
      for( size_t i = 0; i < sizeof(t); ++i )
      {
        h1 *= UCHAR_MAX + 2U;
        h1 += p[i];
      }
      uint32 h2 = 0;
      p = (unsigned char *) &c;
      for( size_t j = 0; j < sizeof(c); ++j )
      {
        h2 *= UCHAR_MAX + 2U;
        h2 += p[j];
      }
      return ( h1 + differ++ ) ^ h2;
    }
};

inline std::ostream& operator<<( std::ostream& os, const MTRand& mtrand )
{
    register const MTRand::uint32 *s = mtrand.state;
    register int i = mtrand.N;
    for( ; i--; os << *s++ << "\t" ) {}
    return os << mtrand.left;
}


inline std::istream& operator>>( std::istream& is, MTRand& mtrand )
{
    register MTRand::uint32 *s = mtrand.state;
    register int i = mtrand.N;
    for( ; i--; is >> *s++ ) {}
    is >> mtrand.left;
    mtrand.pNext = &mtrand.state[mtrand.N-mtrand.left];
    return is;
}

#endif  // MERSENNETWISTER_H