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
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
/// Copyright (C) 2017-2018 Baidu, Inc. All Rights Reserved.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided that the following conditions
// are met:
//
//  * Redistributions of source code must retain the above copyright
//    notice, this list of conditions and the following disclaimer.
//  * Redistributions in binary form must reproduce the above copyright
//    notice, this list of conditions and the following disclaimer in
//    the documentation and/or other materials provided with the
//    distribution.
//  * Neither the name of Baidu, Inc., nor the names of its
//    contributors may be used to endorse or promote products derived
//    from this software without specific prior written permission.
//
// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
// "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
// LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
// A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
// OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
// SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
// LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
// DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
// THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
// (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
// OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

/// The normal and derived distributions.

use {Rng, Rand, Open01};
use distributions::{ziggurat, ziggurat_tables, Sample, IndependentSample};

/// A wrapper around an `f64` to generate N(0, 1) random numbers
/// (a.k.a.  a standard normal, or Gaussian).
///
/// See `Normal` for the general normal distribution.
///
/// Implemented via the ZIGNOR variant[1] of the Ziggurat method.
///
/// [1]: Jurgen A. Doornik (2005). [*An Improved Ziggurat Method to
/// Generate Normal Random
/// Samples*](http://www.doornik.com/research/ziggurat.pdf). Nuffield
/// College, Oxford
///
/// # Example
///
/// ```rust
/// use sgx_rand::distributions::normal::StandardNormal;
///
/// let StandardNormal(x) = sgx_rand::random();
/// println!("{}", x);
/// ```
#[derive(Clone, Copy, Debug)]
pub struct StandardNormal(pub f64);

impl Rand for StandardNormal {
    fn rand<R:Rng>(rng: &mut R) -> StandardNormal {
        #[inline]
        fn pdf(x: f64) -> f64 {
            (-x*x/2.0).exp()
        }
        #[inline]
        fn zero_case<R:Rng>(rng: &mut R, u: f64) -> f64 {
            // compute a random number in the tail by hand

            // strange initial conditions, because the loop is not
            // do-while, so the condition should be true on the first
            // run, they get overwritten anyway (0 < 1, so these are
            // good).
            let mut x = 1.0f64;
            let mut y = 0.0f64;

            while -2.0 * y < x * x {
                let Open01(x_) = rng.gen::<Open01<f64>>();
                let Open01(y_) = rng.gen::<Open01<f64>>();

                x = x_.ln() / ziggurat_tables::ZIG_NORM_R;
                y = y_.ln();
            }

            if u < 0.0 { x - ziggurat_tables::ZIG_NORM_R } else { ziggurat_tables::ZIG_NORM_R - x }
        }

        StandardNormal(ziggurat(
            rng,
            true, // this is symmetric
            &ziggurat_tables::ZIG_NORM_X,
            &ziggurat_tables::ZIG_NORM_F,
            pdf, zero_case))
    }
}

/// The normal distribution `N(mean, std_dev**2)`.
///
/// This uses the ZIGNOR variant of the Ziggurat method, see
/// `StandardNormal` for more details.
///
/// # Example
///
/// ```rust
/// use sgx_rand::distributions::{Normal, IndependentSample};
///
/// // mean 2, standard deviation 3
/// let normal = Normal::new(2.0, 3.0);
/// let v = normal.ind_sample(&mut sgx_rand::thread_rng());
/// println!("{} is from a N(2, 9) distribution", v)
/// ```
#[derive(Clone, Copy, Debug)]
pub struct Normal {
    mean: f64,
    std_dev: f64,
}

impl Normal {
    /// Construct a new `Normal` distribution with the given mean and
    /// standard deviation.
    ///
    /// # Panics
    ///
    /// Panics if `std_dev < 0`.
    #[inline]
    pub fn new(mean: f64, std_dev: f64) -> Normal {
        assert!(std_dev >= 0.0, "Normal::new called with `std_dev` < 0");
        Normal {
            mean: mean,
            std_dev: std_dev
        }
    }
}
impl Sample<f64> for Normal {
    fn sample<R: Rng>(&mut self, rng: &mut R) -> f64 { self.ind_sample(rng) }
}
impl IndependentSample<f64> for Normal {
    fn ind_sample<R: Rng>(&self, rng: &mut R) -> f64 {
        let StandardNormal(n) = rng.gen::<StandardNormal>();
        self.mean + self.std_dev * n
    }
}


/// The log-normal distribution `ln N(mean, std_dev**2)`.
///
/// If `X` is log-normal distributed, then `ln(X)` is `N(mean,
/// std_dev**2)` distributed.
///
/// # Example
///
/// ```rust
/// use sgx_rand::distributions::{LogNormal, IndependentSample};
///
/// // mean 2, standard deviation 3
/// let log_normal = LogNormal::new(2.0, 3.0);
/// let v = log_normal.ind_sample(&mut sgx_rand::thread_rng());
/// println!("{} is from an ln N(2, 9) distribution", v)
/// ```
#[derive(Clone, Copy, Debug)]
pub struct LogNormal {
    norm: Normal
}

impl LogNormal {
    /// Construct a new `LogNormal` distribution with the given mean
    /// and standard deviation.
    ///
    /// # Panics
    ///
    /// Panics if `std_dev < 0`.
    #[inline]
    pub fn new(mean: f64, std_dev: f64) -> LogNormal {
        assert!(std_dev >= 0.0, "LogNormal::new called with `std_dev` < 0");
        LogNormal { norm: Normal::new(mean, std_dev) }
    }
}
impl Sample<f64> for LogNormal {
    fn sample<R: Rng>(&mut self, rng: &mut R) -> f64 { self.ind_sample(rng) }
}
impl IndependentSample<f64> for LogNormal {
    fn ind_sample<R: Rng>(&self, rng: &mut R) -> f64 {
        self.norm.ind_sample(rng).exp()
    }
}