/* * Mathlib : A C Library of Special Functions * Copyright (C) 1998 Ross Ihaka * Copyright (C) 2000-2011 The R Core Team * * 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, a copy is available at * https://www.R-project.org/Licenses/ * * SYNOPSIS * * #include * double rpois(double lambda) * * DESCRIPTION * * Random variates from the Poisson distribution. * * REFERENCE * * Ahrens, J.H. and Dieter, U. (1982). * Computer generation of Poisson deviates * from modified normal distributions. * ACM Trans. Math. Software 8, 163-179. */ #include "nmath.h" #define a0 -0.5 #define a1 0.3333333 #define a2 -0.2500068 #define a3 0.2000118 #define a4 -0.1661269 #define a5 0.1421878 #define a6 -0.1384794 #define a7 0.1250060 #define one_7 0.1428571428571428571 #define one_12 0.0833333333333333333 #define one_24 0.0416666666666666667 #define repeat for(;;) double rpois(double mu) { /* Factorial Table (0:9)! */ const static double fact[10] = { 1., 1., 2., 6., 24., 120., 720., 5040., 40320., 362880. }; /* These are static --- persistent between calls for same mu : */ static int l, m; static double b1, b2, c, c0, c1, c2, c3; static double pp[36], p0, p, q, s, d, omega; static double big_l;/* integer "w/o overflow" */ static double muprev = 0., muprev2 = 0.;/*, muold = 0.*/ /* Local Vars [initialize some for -Wall]: */ double del, difmuk= 0., E= 0., fk= 0., fx, fy, g, px, py, t, u= 0., v, x; double pois = -1.; int k, kflag, big_mu, new_big_mu = FALSE; if (!R_FINITE(mu) || mu < 0) ML_WARN_return_NAN; if (mu <= 0.) return 0.; big_mu = mu >= 10.; if(big_mu) new_big_mu = FALSE; if (!(big_mu && mu == muprev)) {/* maybe compute new persistent par.s */ if (big_mu) { new_big_mu = TRUE; /* Case A. (recalculation of s,d,l because mu has changed): * The poisson probabilities pk exceed the discrete normal * probabilities fk whenever k >= m(mu). */ muprev = mu; s = sqrt(mu); d = 6. * mu * mu; big_l = floor(mu - 1.1484); /* = an upper bound to m(mu) for all mu >= 10.*/ } else { /* Small mu ( < 10) -- not using normal approx. */ /* Case B. (start new table and calculate p0 if necessary) */ /*muprev = 0.;-* such that next time, mu != muprev ..*/ if (mu != muprev) { muprev = mu; m = imax2(1, (int) mu); l = 0; /* pp[] is already ok up to pp[l] */ q = p0 = p = exp(-mu); } repeat { /* Step U. uniform sample for inversion method */ u = unif_rand(); if (u <= p0) return 0.; /* Step T. table comparison until the end pp[l] of the pp-table of cumulative poisson probabilities (0.458 > ~= pp[9](= 0.45792971447) for mu=10 ) */ if (l != 0) { for (k = (u <= 0.458) ? 1 : imin2(l, m); k <= l; k++) if (u <= pp[k]) return (double)k; if (l == 35) /* u > pp[35] */ continue; } /* Step C. creation of new poisson probabilities p[l..] and their cumulatives q =: pp[k] */ l++; for (k = l; k <= 35; k++) { p *= mu / k; q += p; pp[k] = q; if (u <= q) { l = k; return (double)k; } } l = 35; } /* end(repeat) */ }/* mu < 10 */ } /* end {initialize persistent vars} */ /* Only if mu >= 10 : ----------------------- */ /* Step N. normal sample */ g = mu + s * norm_rand();/* norm_rand() ~ N(0,1), standard normal */ if (g >= 0.) { pois = floor(g); /* Step I. immediate acceptance if pois is large enough */ if (pois >= big_l) return pois; /* Step S. squeeze acceptance */ fk = pois; difmuk = mu - fk; u = unif_rand(); /* ~ U(0,1) - sample */ if (d * u >= difmuk * difmuk * difmuk) return pois; } /* Step P. preparations for steps Q and H. (recalculations of parameters if necessary) */ if (new_big_mu || mu != muprev2) { /* Careful! muprev2 is not always == muprev because one might have exited in step I or S */ muprev2 = mu; omega = M_1_SQRT_2PI / s; /* The quantities b1, b2, c3, c2, c1, c0 are for the Hermite * approximations to the discrete normal probabilities fk. */ b1 = one_24 / mu; b2 = 0.3 * b1 * b1; c3 = one_7 * b1 * b2; c2 = b2 - 15. * c3; c1 = b1 - 6. * b2 + 45. * c3; c0 = 1. - b1 + 3. * b2 - 15. * c3; c = 0.1069 / mu; /* guarantees majorization by the 'hat'-function. */ } if (g >= 0.) { /* 'Subroutine' F is called (kflag=0 for correct return) */ kflag = 0; goto Step_F; } repeat { /* Step E. Exponential Sample */ E = exp_rand(); /* ~ Exp(1) (standard exponential) */ /* sample t from the laplace 'hat' (if t <= -0.6744 then pk < fk for all mu >= 10.) */ u = 2 * unif_rand() - 1.; t = 1.8 + fsign(E, u); if (t > -0.6744) { pois = floor(mu + s * t); fk = pois; difmuk = mu - fk; /* 'subroutine' F is called (kflag=1 for correct return) */ kflag = 1; Step_F: /* 'subroutine' F : calculation of px,py,fx,fy. */ if (pois < 10) { /* use factorials from table fact[] */ px = -mu; py = pow(mu, pois) / fact[(int)pois]; } else { /* Case pois >= 10 uses polynomial approximation a0-a7 for accuracy when advisable */ del = one_12 / fk; del = del * (1. - 4.8 * del * del); v = difmuk / fk; if (fabs(v) <= 0.25) px = fk * v * v * (((((((a7 * v + a6) * v + a5) * v + a4) * v + a3) * v + a2) * v + a1) * v + a0) - del; else /* |v| > 1/4 */ px = fk * log(1. + v) - difmuk - del; py = M_1_SQRT_2PI / sqrt(fk); } x = (0.5 - difmuk) / s; x *= x;/* x^2 */ fx = -0.5 * x; fy = omega * (((c3 * x + c2) * x + c1) * x + c0); if (kflag > 0) { /* Step H. Hat acceptance (E is repeated on rejection) */ if (c * fabs(u) <= py * exp(px + E) - fy * exp(fx + E)) break; } else /* Step Q. Quotient acceptance (rare case) */ if (fy - u * fy <= py * exp(px - fx)) break; }/* t > -.67.. */ } return pois; }