source: issm/trunk-jpl/src/c/shared/Random/random.cpp@ 26482

/*!\file: random
 * \brief random number generating functions
 */ 

/*Headers*/
/*{{{*/
#include <stdio.h>
#include <sys/types.h>
#include <math.h>
#include <float.h>    /*  DBL_EPSILON  */
#include <chrono>
#include <cstdarg>
#include <iostream>
#include <random>

#include "../Matrix/matrix.h"
#include "../Exceptions/exceptions.h"
#include "../MemOps/MemOps.h"
#include "../io/io.h"
/*}}}*/

void univariateNormal(IssmPDouble* prand, IssmPDouble mean, IssmPDouble sdev) { /*{{{*/

        /*Random seed using time_since_epoch*/
        unsigned seed = std::chrono::steady_clock::now().time_since_epoch().count(); 
   std::default_random_engine generator(seed);
        /*Normal Probability Distribution*/
   std::normal_distribution<IssmPDouble> normdistri(mean,sdev); 
        *prand = normdistri(generator);
} /*}}}*/
void multivariateNormal(IssmDouble** prand, int dim, IssmDouble mean, IssmDouble* covariancematrix) { /*{{{*/
   
        IssmPDouble* sampleStandardNormal    = xNew<IssmPDouble>(dim);
   IssmDouble* sampleMultivariateNormal = xNew<IssmDouble>(dim);
   IssmDouble* Lchol                    = xNewZeroInit<IssmDouble>(dim*dim);

   for(int i=0;i<dim;i++) univariateNormal(&(sampleStandardNormal[i]),0.0,1.0); 
   CholeskyRealPositiveDefinite(Lchol,covariancematrix,dim);
   
        /*Matrix by vector multiplication*/
        for(int i=0;i<dim;i++){ 
      /*Entry-by-entry multiplication along matrix row*/
      IssmDouble sum=0.;
      for(int j=0;j<dim;j++) sum += sampleStandardNormal[j]*Lchol[i*dim+j]; 
      sampleMultivariateNormal[i] = mean+sum;
   }

   /*Assign output pointer and cleanup*/
   *prand = sampleMultivariateNormal;
   xDelete<IssmPDouble>(sampleStandardNormal);
   xDelete<IssmDouble>(Lchol);
} /*}}}*/
void multivariateNormal(IssmDouble** prand, int dim, IssmDouble* mean, IssmDouble* covariancematrix) { /*{{{*/
        
        IssmPDouble* sampleStandardNormal    = xNew<IssmPDouble>(dim);
        IssmDouble* sampleMultivariateNormal = xNew<IssmDouble>(dim);
        IssmDouble* Lchol                    = xNewZeroInit<IssmDouble>(dim*dim);
        for(int i=0;i<dim;i++) univariateNormal(&(sampleStandardNormal[i]),0.0,1.0);

        CholeskyRealPositiveDefinite(Lchol,covariancematrix,dim);

        /*Matrix by vector multiplication*/
        for(int i=0;i<dim;i++){
                IssmDouble sum = 0.;
      for(int j=0;j<dim;j++) sum += sampleStandardNormal[j]*Lchol[i*dim+j]; 
      sampleMultivariateNormal[i] = mean[i]+sum;
        }
   
        /*Assign output pointer and cleanup*/
        *prand = sampleMultivariateNormal;
        xDelete<IssmPDouble>(sampleStandardNormal);
        xDelete<IssmDouble>(Lchol);
} /*}}}*/