com.numericalmethod.suanshu.stats.random.rng.univariate.gamma

Class MarsagliaTsang2000

java.lang.Object

com.numericalmethod.suanshu.stats.random.rng.univariate.gamma.MarsagliaTsang2000

All Implemented Interfaces:

RandomGammaGenerator, RandomNumberGenerator, Seedable

public class MarsagliaTsang2000
extends Object
implements RandomGammaGenerator

Marsaglia-Tsang is a procedure for generating a gamma variate as the cube of a suitably scaled normal variate. It is fast and simple, assuming one has a fast way to generate standard normal variables. This algorithm is (significantly) slowed down for when k < 1 because an extra uniform rng needs to be generated.

Consider using KunduGupta2007 instead for k < 1.

See Also:

"G. Marsaglia, W. W. Tsang, "A simple method for generating gamma variables," ACM Transactions on Mathematical Software (TOMS), Vol 26, Issue 3, Sept., 2000."

Constructor Summary

Constructors

Constructor and Description
MarsagliaTsang2000() Construct a random number generator to sample from the standard gamma distribution.
MarsagliaTsang2000(double k, double theta) Construct a random number generator to sample from the gamma distribution.
MarsagliaTsang2000(double k, double theta, RandomStandardNormalGenerator normal, RandomLongGenerator uniform) Construct a random number generator to sample from the gamma distribution.

Method Summary

Modifier and Type	Method and Description
double	nextDouble() Get the next random double.
void	seed(long... seeds) Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MarsagliaTsang2000

public MarsagliaTsang2000(double k,
                          double theta,
                          RandomStandardNormalGenerator normal,
                          RandomLongGenerator uniform)

Construct a random number generator to sample from the gamma distribution.

Parameters:

k - the shape parameter

theta - the scale parameter

normal - a standard normal random number generator

uniform - a uniform random number generator

MarsagliaTsang2000

public MarsagliaTsang2000(double k,
                          double theta)

Construct a random number generator to sample from the gamma distribution.

Parameters:

k - the shape parameter

theta - the scale parameter

MarsagliaTsang2000

public MarsagliaTsang2000()

Construct a random number generator to sample from the standard gamma distribution.

Method Detail

seed

public void seed(long... seeds)

Description copied from interface: Seedable

Seed the random number/vector/scenario generator to produce repeatable experiments.

Specified by:

seed in interface Seedable

Parameters:

seeds - the seeds

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator

Get the next random double.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number