Beispiel #1
0
void rtnorm(double *x, double *left, double* right, double *mu, double *sig, int *num)
{
  // TODO: NEED TO DEAL WITH Inf/NA/NaN

  RNG r;
  
  #ifdef USE_R
  GetRNGstate();
  #endif
  
  for(int i=0; i < *num; ++i){
    #ifdef USE_R
    if (i%SAMPCHECK==0) R_CheckUserInterrupt(); 

    if (ISNAN(left[i]) || ISNAN(right[i]) || ISNAN(mu[i]) || ISNAN(sig[i]))
      x[i] = R_NaN;

    if (ISNA(left[i]) || ISNA(right[i]) || ISNA(mu[i]) || ISNA(sig[i]))
      x[i] = NA_REAL;
    
    #endif
    
    #ifdef USE_R

    if (left[i] != R_NegInf && right[i] != R_PosInf) {
      x[i] = r.tnorm(left[i], right[i], mu[i], sig[i]);
    } else if (left[i] != R_NegInf && right[i] == R_PosInf) {
      x[i] = r.tnorm(left[i], mu[i], sig[i]);
    } else if (left[i] == R_NegInf && right[i] != R_PosInf) {
      x[i] = -1.0 * r.tnorm(-1.0 * right[i], -1.0 * mu[i], sig[i]);
    } else if (left[i] == R_NegInf && right[i] == R_PosInf) {
      x[i] = r.norm(mu[i], sig[i]);
    } else {
      x[i] = R_NaN;
    }

    #else

    // TODO: Need to adjust so that we deal with +/- inf.

    if (MYFINITE(left[i]) && MYFINITE(right[i]))
      x[i] = r.tnorm(left[i], right[i], mu[i], sig[i]);
    else if (MYFINITE(left[i]))
      x[i] = r.tnorm(left[i], mu[i], sig[i]);
    else if (MYFINITE(right[i]))
      x[i] = -1.0 * r.tnorm(-1.0 * right[i], -1.0 * mu[i], sig[i]);
    else 
      x[i] = r.norm(mu[i], sig[i]);

    #endif
	
  }
  
  #ifdef USE_R
  PutRNGstate();
  #endif
}
Beispiel #2
0
inline void Logit::draw_beta(MF beta, MF w, RNG& r)
{
  // tXRtOm = tX sqrt(Om)
  Matrix tXRtOm(P, N);
  for(unsigned int j=0; j<tX.cols(); j++)
    for(unsigned int i=0; i<tX.rows(); i++)
      tXRtOm(i,j) = tX(i,j) * sqrt(w(j));

  // PP = X' Om X + P0.
  PP = P0; syrk(PP, tXRtOm, 'N', 1.0, 1.0);

  // PP = U'U.
  // U'U mP = bP --> U' y = bP; U mP = y;
  // ep = U z
  // dr = mP + z.

  Matrix U; chol(U, PP, 'U');

  r.norm(beta, 1.0);
  Matrix mP(bP);

  trsm(U, mP,   'U', 'L', 'T'); // U' y = bP
  trsm(U, mP,   'U', 'L', 'N'); // U mP = y
  trsm(U, beta, 'U', 'L', 'N'); // U z = ep.

  for(uint i=0; i<P; i++)
    beta(i) += mP(i);
}
Beispiel #3
0
double PolyaGamma::rtigauss(double Z, RNG& r)
{
  Z = fabs(Z);
  double t = __TRUNC;
  double X = t + 1.0;
  if (__TRUNC_RECIP > Z) { // mu > t
    double alpha = 0.0;
    while (r.unif() > alpha) {
      // X = t + 1.0;
      // while (X > t)
      // 	X = 1.0 / r.gamma_rate(0.5, 0.5);
      // Slightly faster to use truncated normal.
      double E1 = r.expon_rate(1.0); double E2 = r.expon_rate(1.0);
      while ( E1*E1 > 2 * E2 / t) {
	E1 = r.expon_rate(1.0); E2 = r.expon_rate(1.0);
      }
      X = 1 + E1 * t;
      X = t / (X * X);
      alpha = exp(-0.5 * Z*Z * X);
    }
  }
  else {
    double mu = 1.0 / Z;
    while (X > t) {
      double Y = r.norm(1.0); Y *= Y;
      double half_mu = 0.5 * mu;
      double mu_Y    = mu  * Y;
      X = mu + half_mu * mu_Y - half_mu * sqrt(4 * mu_Y + mu_Y * mu_Y);
      if (r.unif() > mu / (mu + X))
	X = mu*mu / X;
    }
  }
  return X;
}
Beispiel #4
0
int main(int argc, char** argv)
{
  RNG r;

  // MatrixXd A(4,1);
  // Matrix<double, 1, 1> mu;  mu(0)  = 0.0;
  // Matrix<double, 1, 1> sig; sig(0) = 1.0;

  MatrixXd A(4,1);
  VectorXd v(4);

  r.norm(A, 1.0);

  Map<MatrixXd> M(&A(0), 4, 1);
  fun2(M);

  fun3(v);

  cout << "A:\n" << A << endl;

  return 0;
}