Source file owl_base_stats_dist_gamma.ml
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
# 1 "src/base/stats/owl_base_stats_dist_gamma.ml"
open Owl_base_stats_dist_exponential
open Owl_base_stats_dist_gaussian
let std_gamma_rvs ~shape =
let x = ref infinity in
if shape = 1. then (
x := std_exponential_rvs ()
)
else if shape < 1. then (
try while true do
let u = Random.float 1. in
let v = std_exponential_rvs () in
if u <= 1. -. shape then (
x := u ** (1. /. shape);
if !x <= v then raise Owl_exception.FOUND
)
else (
let y = -.(log ((1. -. u) /. shape)) in
x := (1. -. shape +. shape *. y) ** (1. /. shape);
if !x <= v +. y then raise Owl_exception.FOUND
)
done with _ -> ()
)
else (
let b = shape -. 1. /. 3. in
let c = 1. /. sqrt (9. *. b) in
while true do
let v = ref neg_infinity in
while !v <= 0. do
x := std_gaussian_rvs ();
v := 1. +. c *. !x
done;
let v = !v *. !v *. !v in
let u = Random.float 1. in
if (u < 1. -. 0.0331 *. !x *. !x *. !x *. !x) then (
x := b *. v;
raise Owl_exception.FOUND
);
if (log u) < 0.5 *. !x *. !x +. b *. (1. -. v +. log v) then (
x := b *. v;
raise Owl_exception.FOUND
)
done
);
!x
let gamma_rvs ~shape ~scale = scale *. (std_gamma_rvs ~shape)