normal_double.h File Reference

Normal double sampler. More...

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Data Structures
struct	cfe_normal_double

Typedefs
typedef struct cfe_normal_double	cfe_normal_double

Functions
cfe_error	cfe_normal_double_init (cfe_normal_double *s, mpf_t sigma, size_t n, mpf_t first_sigma)
void	cfe_normal_double_free (cfe_normal_double *s)
void	cfe_normal_double_sample (mpz_t res, cfe_normal_double *s)
void	cfe_normal_double_sample_vec (cfe_vec *res, cfe_normal_double *s)
void	cfe_normal_double_sample_mat (cfe_mat *res, cfe_normal_double *s)

Detailed Description

Normal double sampler.

Typedef Documentation

cfe_normal_double

typedef struct cfe_normal_double cfe_normal_double

Samples random values from the normal (Gaussian) probability distribution, centered on 0. This sampler works in a way that first samples from a normal_cumulative with some small sigma and then using another sampling from uniform distribution creates a candidate for the output, which is accepted or rejected with certain probability. Note that the sampler offers arbitrary precision but the implementation is not constant time.

Function Documentation

cfe_normal_double_init()

cfe_error cfe_normal_double_init	(	cfe_normal_double *	s,
		mpf_t	sigma,
		size_t	n,
		mpf_t	first_sigma
	)

Initializes an instance of cfe_normal_double sampler. It assumes mean = 0. Values are precomputed when this function is called, so that normal_double_sample merely returns a precomputed value. sigma should be a multiple of first_sigma. Increasing first_sigma a bit speeds up the algorithm but increases the size of the precomputed values.

Parameters

s	A pointer to an uninitialized struct representing the sampler
sigma	Standard deviation
n	Precision parameter
first_sigma	Standard deviation for the cumulative sampler

Returns

cfe_normal_double_free()

void cfe_normal_double_free

(

cfe_normal_double *

s

)

Frees the memory occupied by the struct members. It does not free memory occupied by the struct itself.

Parameters

s	A pointer to an instance of the sampler (initialized cfe_normal_double struct)

cfe_normal_double_sample()

void cfe_normal_double_sample	(	mpz_t	res,
		cfe_normal_double *	s
	)

Samples according to discrete Gauss distribution using normal_double and second sampling.

Parameters

res	The random number (result value will be stored here)
s	A pointer to an instance of the sampler (initialized cfe_normal_double struct)

cfe_normal_double_sample_vec()

void cfe_normal_double_sample_vec	(	cfe_vec *	res,
		cfe_normal_double *	s
	)

Sets the elements of the vector to random numbers with the normal_double sampler.

cfe_normal_double_sample_mat()

void cfe_normal_double_sample_mat	(	cfe_mat *	res,
		cfe_normal_double *	s
	)

Sets the elements of a matrix to random numbers with the normal_double sampler.