The R Project SVN R

/*

 *  Mathlib : A C Library of Special Functions

 *  Copyright (C) 1998 Ross Ihaka

 *  Copyright (C) 2000-2001 The R Development 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, write to the Free Software

 *  Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307 USA.

 *

 *  SYNOPSIS

 *

 *    #include <Rmath.h>

 *    double rhyper(double NR, double NB, double n);

 *

 *  DESCRIPTION

 *

 *    Random variates from the hypergeometric distribution.

 *    Returns the number of white balls drawn when kk balls

 *    are drawn at random from an urn containing nn1 white

 *    and nn2 black balls.

 *

 *  REFERENCE

 *

 *    V. Kachitvichyanukul and B. Schmeiser (1985).

 *    ``Computer generation of hypergeometric random variates,''

 *    Journal of Statistical Computation and Simulation 22, 127-145.

 */

#include "nmath.h"

/* afc(i) :=  ln( i! )	[logarithm of the factorial i.

 *	   If (i > 7), use Stirling's approximation, otherwise use table lookup.

*/

static double afc(int i)

{

    const double al[9] =

    {

	0.0,

	0.0,/*ln(0!)=ln(1)*/

	0.0,/*ln(1!)=ln(1)*/

	0.69314718055994530941723212145817,/*ln(2) */

	1.79175946922805500081247735838070,/*ln(6) */

	3.17805383034794561964694160129705,/*ln(24)*/

	4.78749174278204599424770093452324,

	6.57925121201010099506017829290394,

	8.52516136106541430016553103634712

	/*, 10.60460290274525022841722740072165*/

    };

    double di, value;

    if (i < 0) {

      MATHLIB_WARNING("rhyper.c: afc(i), i=%d < 0 -- SHOULD NOT HAPPEN!\n",i);

      return -1;/* unreached (Wall) */

    } else if (i <= 7) {

	value = al[i + 1];

    } else {

	di = i;

	value = (di + 0.5) * log(di) - di + 0.08333333333333 / di

	    - 0.00277777777777 / di / di / di + 0.9189385332;

    }

    return value;

}

double rhyper(double nn1in, double nn2in, double kkin)

{

    const double con = 57.56462733;

    const double deltal = 0.0078;

    const double deltau = 0.0034;

    const double scale = 1e25;

    /* extern double afc(int); */

    int nn1, nn2, kk;

    int i, ix;

    Rboolean reject, setup1, setup2;

    double e, f, g, p, r, t, u, v, y;

    double de, dg, dr, ds, dt, gl, gu, nk, nm, ub;

    double xk, xm, xn, y1, ym, yn, yk, alv;

    /* These should become `thread_local globals' : */

    static int ks = -1;

    static int n1s = -1, n2s = -1;

    static int k, m;

    static int minjx, maxjx, n1, n2;

    static double a, d, s, w;

    static double tn, xl, xr, kl, kr, lamdl, lamdr, p1, p2, p3;

    /* check parameter validity */

    if(!R_FINITE(nn1in) || !R_FINITE(nn2in) || !R_FINITE(kkin))

	ML_ERR_return_NAN;

    nn1 = floor(nn1in+0.5);

    nn2 = floor(nn2in+0.5);

    kk	= floor(kkin +0.5);

    if (nn1 < 0 || nn2 < 0 || kk < 0 || kk > nn1 + nn2)

	ML_ERR_return_NAN;

    /* if new parameter values, initialize */

    reject = TRUE;

    if (nn1 != n1s || nn2 != n2s) {

	setup1 = TRUE;	setup2 = TRUE;

    } else if (kk != ks) {

	setup1 = FALSE;	setup2 = TRUE;

    } else {

	setup1 = FALSE;	setup2 = FALSE;

    }

    if (setup1) {

	n1s = nn1;

	n2s = nn2;

	tn = nn1 + nn2;

	if (nn1 <= nn2) {

	    n1 = nn1;

	    n2 = nn2;

	} else {

	    n1 = nn2;

	    n2 = nn1;

	}

    }

    if (setup2) {

	ks = kk;

	if (kk + kk >= tn) {

	    k = tn - kk;

	} else {

	    k = kk;

	}

    }

    if (setup1 || setup2) {

	m = (k + 1.0) * (n1 + 1.0) / (tn + 2.0);

	minjx = imax2(0, k - n2);

	maxjx = imin2(n1, k);

    }

    /* generate random variate --- Three basic cases */

    if (minjx == maxjx) { /* I: degenerate distribution ---------------- */

	ix = maxjx;

	/* return ix;

	   No, need to unmangle <TSL>*/

	/* return appropriate variate */

	if (kk + kk >= tn) {

	  if (nn1 > nn2) {

	    ix = kk - nn2 + ix;

	  } else {

	    ix = nn1 - ix;

	  }

	} else {

	  if (nn1 > nn2)

	    ix = kk - ix;

	}

	return ix;

    } else if (m - minjx < 10) { /* II: inverse transformation ---------- */

	if (setup1 || setup2) {

	    if (k < n2) {

		w = exp(con + afc(n2) + afc(n1 + n2 - k)

			- afc(n2 - k) - afc(n1 + n2));

	    } else {

		w = exp(con + afc(n1) + afc(k)

			- afc(k - n2) - afc(n1 + n2));

	    }

	}

      L10:

	p = w;

	ix = minjx;

	u = unif_rand() * scale;

      L20:

	if (u > p) {

	    u -= p;

	    p *= (n1 - ix) * (k - ix);

	    ix++;

	    p = p / ix / (n2 - k + ix);

	    if (ix > maxjx)

		goto L10;

	    goto L20;

	}

    } else { /* III : h2pe --------------------------------------------- */

	if (setup1 || setup2) {

	    s = sqrt((tn - k) * k * n1 * n2 / (tn - 1) / tn / tn);

	    /* remark: d is defined in reference without int. */

	    /* the truncation centers the cell boundaries at 0.5 */

	    d = (int) (1.5 * s) + .5;

	    xl = m - d + .5;

	    xr = m + d + .5;

	    a = afc(m) + afc(n1 - m) + afc(k - m) + afc(n2 - k + m);

	    kl = exp(a - afc((int) (xl)) - afc((int) (n1 - xl))

		     - afc((int) (k - xl))

		     - afc((int) (n2 - k + xl)));

	    kr = exp(a - afc((int) (xr - 1))

		     - afc((int) (n1 - xr + 1))

		     - afc((int) (k - xr + 1))

		     - afc((int) (n2 - k + xr - 1)));

	    lamdl = -log(xl * (n2 - k + xl) / (n1 - xl + 1) / (k - xl + 1));

	    lamdr = -log((n1 - xr + 1) * (k - xr + 1) / xr / (n2 - k + xr));

	    p1 = d + d;

	    p2 = p1 + kl / lamdl;

	    p3 = p2 + kr / lamdr;

	}

      L30:

	u = unif_rand() * p3;

	v = unif_rand();

	if (u < p1) {		/* rectangular region */

	    ix = xl + u;

	} else if (u <= p2) {	/* left tail */

	    ix = xl + log(v) / lamdl;

	    if (ix < minjx)

		goto L30;

	    v = v * (u - p1) * lamdl;

	} else {		/* right tail */

	    ix = xr - log(v) / lamdr;

	    if (ix > maxjx)

		goto L30;

	    v = v * (u - p2) * lamdr;

	}

	/* acceptance/rejection test */

	if (m < 100 || ix <= 50) {

	    /* explicit evaluation */

	    f = 1.0;

	    if (m < ix) {

		for (i = m + 1; i <= ix; i++)

		    f = f * (n1 - i + 1) * (k - i + 1) / (n2 - k + i) / i;

	    } else if (m > ix) {

		for (i = ix + 1; i <= m; i++)

		    f = f * i * (n2 - k + i) / (n1 - i) / (k - i);

	    }

	    if (v <= f) {

		reject = FALSE;

	    }

	} else {

	    /* squeeze using upper and lower bounds */

	    y = ix;

	    y1 = y + 1.0;

	    ym = y - m;

	    yn = n1 - y + 1.0;

	    yk = k - y + 1.0;

	    nk = n2 - k + y1;

	    r = -ym / y1;

	    s = ym / yn;

	    t = ym / yk;

	    e = -ym / nk;

	    g = yn * yk / (y1 * nk) - 1.0;

	    dg = 1.0;

	    if (g < 0.0)

		dg = 1.0 + g;

	    gu = g * (1.0 + g * (-0.5 + g / 3.0));

	    gl = gu - .25 * (g * g * g * g) / dg;

	    xm = m + 0.5;

	    xn = n1 - m + 0.5;

	    xk = k - m + 0.5;

	    nm = n2 - k + xm;

	    ub = y * gu - m * gl + deltau

		+ xm * r * (1. + r * (-0.5 + r / 3.0))

		+ xn * s * (1. + s * (-0.5 + s / 3.0))

		+ xk * t * (1. + t * (-0.5 + t / 3.0))

		+ nm * e * (1. + e * (-0.5 + e / 3.0));

	    /* test against upper bound */

	    alv = log(v);

	    if (alv > ub) {

		reject = TRUE;

	    } else {

				/* test against lower bound */

		dr = xm * (r * r * r * r);

		if (r < 0.0)

		    dr /= (1.0 + r);

		ds = xn * (s * s * s * s);

		if (s < 0.0)

		    ds /= (1.0 + s);

		dt = xk * (t * t * t * t);

		if (t < 0.0)

		    dt /= (1.0 + t);

		de = nm * (e * e * e * e);

		if (e < 0.0)

		    de /= (1.0 + e);

		if (alv < ub - 0.25 * (dr + ds + dt + de)

		    + (y + m) * (gl - gu) - deltal) {

		    reject = FALSE;

		} 

		else {

		    /* * Stirling's formula to machine accuracy

		     */

		    if (alv <= (a - afc(ix) - afc(n1 - ix)

				- afc(k - ix) - afc(n2 - k + ix))) {

			reject = FALSE;

		    } else {

			reject = TRUE;

		    }

		}

	    }

	}

	if (reject)

	    goto L30;

    }

    /* return appropriate variate */

    if (kk + kk >= tn) {

	if (nn1 > nn2) {

	    ix = kk - nn2 + ix;

	} else {

	    ix = nn1 - ix;

	}

    } else {

	if (nn1 > nn2)

	    ix = kk - ix;

    }

    return ix;

}