src/math/rand/normal.go

// Copyright 2009 The Go Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.

package rand

import (
	"math"
)

/*
 * Normal distribution
 *
 * See "The Ziggurat Method for Generating Random Variables"
 * (Marsaglia & Tsang, 2000)
 * http://www.jstatsoft.org/v05/i08/paper [pdf]
 */

const (
	rn = 3.442619855899
)

func absInt32(i int32) uint32 {
	if i < 0 {
		return uint32(-i)
	}
	return uint32(i)
}

// NormFloat64 returns a normally distributed float64 in
// the range -math.MaxFloat64 through +math.MaxFloat64 inclusive,
// with standard normal distribution (mean = 0, stddev = 1).
// To produce a different normal distribution, callers can
// adjust the output using:
//
//  sample = NormFloat64() * desiredStdDev + desiredMean
//
func (r *Rand) NormFloat64() float64 {
	for {
		j := int32(r.Uint32()) // Possibly negative
		i := j & 0x7F
		x := float64(j) * float64(wn[i])
		if absInt32(j) < kn[i] {
			// This case should be hit better than 99% of the time.
			return x
		}

		if i == 0 {
			// This extra work is only required for the base strip.
			for {
				x = -math.Log(r.Float64()) * (1.0 / rn)
				y := -math.Log(r.Float64())
				if y+y >= x*x {
					break
				}
			}
			if j > 0 {
				return rn + x
			}
			return -rn - x
		}
		if fn[i]+float32(r.Float64())*(fn[i-1]-fn[i]) < float32(math.Exp(-.5*x*x)) {
			return x
		}
	}
}

var kn = [128]uint32{
	0x76ad2212, 0x0, 0x600f1b53, 0x6ce447a6, 0x725b46a2,
	0x7560051d, 0x774921eb, 0x789a25bd, 0x799045c3, 0x7a4bce5d,
	0x7adf629f, 0x7b5682a6, 0x7bb8a8c6, 0x7c0ae722, 0x7c50cce7,
	0x7c8cec5b, 0x7cc12cd6, 0x7ceefed2, 0x7d177e0b, 0x7d3b8883,
	0x7d5bce6c, 0x7d78dd64, 0x7d932886, 0x7dab0e57, 0x7dc0dd30,
	0x7dd4d688, 0x7de73185, 0x7df81cea, 0x7e07c0a3, 0x7e163efa,
	0x7e23b587, 0x7e303dfd, 0x7e3beec2, 0x7e46db77, 0x7e51155d,
	0x7e5aabb3, 0x7e63abf7, 0x7e6c222c, 0x7e741906, 0x7e7b9a18,
	0x7e82adfa, 0x7e895c63, 0x7e8fac4b, 0x7e95a3fb, 0x7e9b4924,
	0x7ea0a0ef, 0x7ea5b00d, 0x7eaa7ac3, 0x7eaf04f3, 0x7eb3522a,
	0x7eb765a5, 0x7ebb4259, 0x7ebeeafd, 0x7ec2620a, 0x7ec5a9c4,
	0x7ec8c441, 0x7ecbb365, 0x7ece78ed, 0x7ed11671, 0x7ed38d62,
	0x7ed5df12, 0x7ed80cb4, 0x7eda175c, 0x7edc0005, 0x7eddc78e,
	0x7edf6ebf, 0x7ee0f647, 0x7ee25ebe, 0x7ee3a8a9, 0x7ee4d473,
	0x7ee5e276, 0x7ee6d2f5, 0x7ee7a620, 0x7ee85c10, 0x7ee8f4cd,
	0x7ee97047, 0x7ee9ce59, 0x7eea0eca, 0x7eea3147, 0x7eea3568,
	0x7eea1aab, 0x7ee9e071, 0x7ee98602, 0x7ee90a88, 0x7ee86d08,
	0x7ee7ac6a, 0x7ee6c769, 0x7ee5bc9c, 0x7ee48a67, 0x7ee32efc,
	0x7ee1a857, 0x7edff42f, 0x7ede0ffa, 0x7edbf8d9, 0x7ed9ab94,
	0x7ed7248d, 0x7ed45fae, 0x7ed1585c, 0x7ece095f, 0x7eca6ccb,
	0x7ec67be2, 0x7ec22eee, 0x7ebd7d1a, 0x7eb85c35, 0x7eb2c075,
	0x7eac9c20, 0x7ea5df27, 0x7e9e769f, 0x7e964c16, 0x7e8d44ba,
	0x7e834033, 0x7e781728, 0x7e6b9933, 0x7e5d8a1a, 0x7e4d9ded,
	0x7e3b737a, 0x7e268c2f, 0x7e0e3ff5, 0x7df1aa5d, 0x7dcf8c72,
	0x7da61a1e, 0x7d72a0fb, 0x7d30e097, 0x7cd9b4ab, 0x7c600f1a,
	0x7ba90bdc, 0x7a722176, 0x77d664e5,
}
var wn = [128]float32{
	1.7290405e-09, 1.2680929e-10, 1.6897518e-10, 1.9862688e-10,
	2.2232431e-10, 2.4244937e-10, 2.601613e-10, 2.7611988e-10,
	2.9073963e-10, 3.042997e-10, 3.1699796e-10, 3.289802e-10,
	3.4035738e-10, 3.5121603e-10, 3.616251e-10, 3.7164058e-10,
	3.8130857e-10, 3.9066758e-10, 3.9975012e-10, 4.08584e-10,
	4.1719309e-10, 4.2559822e-10, 4.338176e-10, 4.418672e-10,
	4.497613e-10, 4.5751258e-10, 4.651324e-10, 4.7263105e-10,
	4.8001775e-10, 4.87301e-10, 4.944885e-10, 5.015873e-10,
	5.0860405e-10, 5.155446e-10, 5.2241467e-10, 5.2921934e-10,
	5.359635e-10, 5.426517e-10, 5.4928817e-10, 5.5587696e-10,
	5.624219e-10, 5.6892646e-10, 5.753941e-10, 5.818282e-10,
	5.882317e-10, 5.946077e-10, 6.00959e-10, 6.072884e-10,
	6.135985e-10, 6.19892e-10, 6.2617134e-10, 6.3243905e-10,
	6.386974e-10, 6.449488e-10, 6.511956e-10, 6.5744005e-10,
	6.6368433e-10, 6.699307e-10, 6.7618144e-10, 6.824387e-10,
	6.8870465e-10, 6.949815e-10, 7.012715e-10, 7.075768e-10,
	7.1389966e-10, 7.202424e-10, 7.266073e-10, 7.329966e-10,
	7.394128e-10, 7.4585826e-10, 7.5233547e-10, 7.58847e-10,
	7.653954e-10, 7.719835e-10, 7.7861395e-10, 7.852897e-10,
	7.920138e-10, 7.987892e-10, 8.0561924e-10, 8.125073e-10,
	8.194569e-10, 8.2647167e-10, 8.3355556e-10, 8.407127e-10,
	8.479473e-10, 8.55264e-10, 8.6266755e-10, 8.7016316e-10,
	8.777562e-10, 8.8545243e-10, 8.932582e-10, 9.0117996e-10,
	9.09225e-10, 9.174008e-10, 9.2571584e-10, 9.341788e-10,
	9.427997e-10, 9.515889e-10, 9.605579e-10, 9.697193e-10,
	9.790869e-10, 9.88676e-10, 9.985036e-10, 1.0085882e-09,
	1.0189509e-09, 1.0296151e-09, 1.0406069e-09, 1.0519566e-09,
	1.063698e-09, 1.0758702e-09, 1.0885183e-09, 1.1016947e-09,
	1.1154611e-09, 1.1298902e-09, 1.1450696e-09, 1.1611052e-09,
	1.1781276e-09, 1.1962995e-09, 1.2158287e-09, 1.2369856e-09,
	1.2601323e-09, 1.2857697e-09, 1.3146202e-09, 1.347784e-09,
	1.3870636e-09, 1.4357403e-09, 1.5008659e-09, 1.6030948e-09,
}
var fn = [128]float32{
	1, 0.9635997, 0.9362827, 0.9130436, 0.89228165, 0.87324303,
	0.8555006, 0.8387836, 0.8229072, 0.8077383, 0.793177,
	0.7791461, 0.7655842, 0.7524416, 0.73967725, 0.7272569,
	0.7151515, 0.7033361, 0.69178915, 0.68049186, 0.6694277,
	0.658582, 0.6479418, 0.63749546, 0.6272325, 0.6171434,
	0.6072195, 0.5974532, 0.58783704, 0.5783647, 0.56903,
	0.5598274, 0.5507518, 0.54179835, 0.5329627, 0.52424055,
	0.5156282, 0.50712204, 0.49871865, 0.49041483, 0.48220766,
	0.4740943, 0.46607214, 0.4581387, 0.45029163, 0.44252872,
	0.43484783, 0.427247, 0.41972435, 0.41227803, 0.40490642,
	0.39760786, 0.3903808, 0.3832238, 0.37613547, 0.36911446,
	0.3621595, 0.35526937, 0.34844297, 0.34167916, 0.33497685,
	0.3283351, 0.3217529, 0.3152294, 0.30876362, 0.30235484,
	0.29600215, 0.28970486, 0.2834622, 0.2772735, 0.27113807,
	0.2650553, 0.25902456, 0.2530453, 0.24711695, 0.241239,
	0.23541094, 0.22963232, 0.2239027, 0.21822165, 0.21258877,
	0.20700371, 0.20146611, 0.19597565, 0.19053204, 0.18513499,
	0.17978427, 0.17447963, 0.1692209, 0.16400786, 0.15884037,
	0.15371831, 0.14864157, 0.14361008, 0.13862377, 0.13368265,
	0.12878671, 0.12393598, 0.119130544, 0.11437051, 0.10965602,
	0.104987256, 0.10036444, 0.095787846, 0.0912578, 0.08677467,
	0.0823389, 0.077950984, 0.073611505, 0.06932112, 0.06508058,
	0.06089077, 0.056752663, 0.0526674, 0.048636295, 0.044660863,
	0.040742867, 0.03688439, 0.033087887, 0.029356318,
	0.025693292, 0.022103304, 0.018592102, 0.015167298,
	0.011839478, 0.008624485, 0.005548995, 0.0026696292,
}