-
-
Notifications
You must be signed in to change notification settings - Fork 5.5k
/
rhyper.c
339 lines (312 loc) · 8.47 KB
/
rhyper.c
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
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
/*
* Mathlib : A C Library of Special Functions
* Copyright (C) 1998 Ross Ihaka
* Copyright (C) 2000-2001 The R Development Core Team
* Copyright (C) 2005 The R Foundation
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 2 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, a copy is available at
* https://www.r-project.org/Licenses/
*
* SYNOPSIS
*
* #include <Rmath.h>
* double rhyper(double NR, double NB, double n);
*
* DESCRIPTION
*
* Random variates from the hypergeometric distribution.
* Returns the number of white balls drawn when kk balls
* are drawn at random from an urn containing nn1 white
* and nn2 black balls.
*
* REFERENCE
*
* V. Kachitvichyanukul and B. Schmeiser (1985).
* ``Computer generation of hypergeometric random variates,''
* Journal of Statistical Computation and Simulation 22, 127-145.
*
* The original algorithm had a bug -- R bug report PR#7314 --
* giving numbers slightly too small in case III h2pe
* where (m < 100 || ix <= 50) , see below.
*/
#include "nmath.h"
/* afc(i) := ln( i! ) [logarithm of the factorial i.
* If (i > 7), use Stirling's approximation, otherwise use table lookup.
*/
static double afc(int i)
{
const static double al[9] =
{
0.0,
0.0,/*ln(0!)=ln(1)*/
0.0,/*ln(1!)=ln(1)*/
0.69314718055994530941723212145817,/*ln(2) */
1.79175946922805500081247735838070,/*ln(6) */
3.17805383034794561964694160129705,/*ln(24)*/
4.78749174278204599424770093452324,
6.57925121201010099506017829290394,
8.52516136106541430016553103634712
/*, 10.60460290274525022841722740072165*/
};
double di, value;
if (i < 0) {
MATHLIB_WARNING(("rhyper.c: afc(i), i=%d < 0 -- SHOULD NOT HAPPEN!\n"),
i);
return -1;/* unreached (Wall) */
} else if (i <= 7) {
value = al[i + 1];
} else {
di = i;
value = (di + 0.5) * log(di) - di + 0.08333333333333 / di
- 0.00277777777777 / di / di / di + 0.9189385332;
}
return value;
}
double rhyper(double nn1in, double nn2in, double kkin)
{
const static double con = 57.56462733;
const static double deltal = 0.0078;
const static double deltau = 0.0034;
const static double scale = 1e25;
/* extern double afc(int); */
int nn1, nn2, kk;
int i, ix;
Rboolean reject, setup1, setup2;
double e, f, g, p, r, t, u, v, y;
double de, dg, dr, ds, dt, gl, gu, nk, nm, ub;
double xk, xm, xn, y1, ym, yn, yk, alv;
/* These should become `thread_local globals' : */
static int ks = -1;
static int n1s = -1, n2s = -1;
static int k, m;
static int minjx, maxjx, n1, n2;
static double a, d, s, w;
static double tn, xl, xr, kl, kr, lamdl, lamdr, p1, p2, p3;
/* check parameter validity */
if(!R_FINITE(nn1in) || !R_FINITE(nn2in) || !R_FINITE(kkin))
ML_ERR_return_NAN;
nn1 = floor(nn1in+0.5);
nn2 = floor(nn2in+0.5);
kk = floor(kkin +0.5);
if (nn1 < 0 || nn2 < 0 || kk < 0 || kk > nn1 + nn2)
ML_ERR_return_NAN;
/* if new parameter values, initialize */
reject = TRUE;
if (nn1 != n1s || nn2 != n2s) {
setup1 = TRUE; setup2 = TRUE;
} else if (kk != ks) {
setup1 = FALSE; setup2 = TRUE;
} else {
setup1 = FALSE; setup2 = FALSE;
}
if (setup1) {
n1s = nn1;
n2s = nn2;
tn = nn1 + nn2;
if (nn1 <= nn2) {
n1 = nn1;
n2 = nn2;
} else {
n1 = nn2;
n2 = nn1;
}
}
if (setup2) {
ks = kk;
if (kk + kk >= tn) {
k = tn - kk;
} else {
k = kk;
}
}
if (setup1 || setup2) {
m = (k + 1.0) * (n1 + 1.0) / (tn + 2.0);
minjx = imax2(0, k - n2);
maxjx = imin2(n1, k);
}
/* generate random variate --- Three basic cases */
if (minjx == maxjx) { /* I: degenerate distribution ---------------- */
ix = maxjx;
/* return ix;
No, need to unmangle <TSL>*/
/* return appropriate variate */
if (kk + kk >= tn) {
if (nn1 > nn2) {
ix = kk - nn2 + ix;
} else {
ix = nn1 - ix;
}
} else {
if (nn1 > nn2)
ix = kk - ix;
}
return ix;
} else if (m - minjx < 10) { /* II: inverse transformation ---------- */
if (setup1 || setup2) {
if (k < n2) {
w = exp(con + afc(n2) + afc(n1 + n2 - k)
- afc(n2 - k) - afc(n1 + n2));
} else {
w = exp(con + afc(n1) + afc(k)
- afc(k - n2) - afc(n1 + n2));
}
}
L10:
p = w;
ix = minjx;
u = unif_rand() * scale;
L20:
if (u > p) {
u -= p;
p *= (n1 - ix) * (k - ix);
ix++;
p = p / ix / (n2 - k + ix);
if (ix > maxjx)
goto L10;
goto L20;
}
} else { /* III : h2pe --------------------------------------------- */
if (setup1 || setup2) {
s = sqrt((tn - k) * k * n1 * n2 / (tn - 1) / tn / tn);
/* remark: d is defined in reference without int. */
/* the truncation centers the cell boundaries at 0.5 */
d = (int) (1.5 * s) + .5;
xl = m - d + .5;
xr = m + d + .5;
a = afc(m) + afc(n1 - m) + afc(k - m) + afc(n2 - k + m);
kl = exp(a - afc((int) (xl)) - afc((int) (n1 - xl))
- afc((int) (k - xl))
- afc((int) (n2 - k + xl)));
kr = exp(a - afc((int) (xr - 1))
- afc((int) (n1 - xr + 1))
- afc((int) (k - xr + 1))
- afc((int) (n2 - k + xr - 1)));
lamdl = -log(xl * (n2 - k + xl) / (n1 - xl + 1) / (k - xl + 1));
lamdr = -log((n1 - xr + 1) * (k - xr + 1) / xr / (n2 - k + xr));
p1 = d + d;
p2 = p1 + kl / lamdl;
p3 = p2 + kr / lamdr;
}
L30:
u = unif_rand() * p3;
v = unif_rand();
if (u < p1) { /* rectangular region */
ix = xl + u;
} else if (u <= p2) { /* left tail */
ix = xl + log(v) / lamdl;
if (ix < minjx)
goto L30;
v = v * (u - p1) * lamdl;
} else { /* right tail */
ix = xr - log(v) / lamdr;
if (ix > maxjx)
goto L30;
v = v * (u - p2) * lamdr;
}
/* acceptance/rejection test */
if (m < 100 || ix <= 50) {
/* explicit evaluation */
/* The original algorithm (and TOMS 668) have
f = f * i * (n2 - k + i) / (n1 - i) / (k - i);
in the (m > ix) case, but the definition of the
recurrence relation on p134 shows that the +1 is
needed. */
f = 1.0;
if (m < ix) {
for (i = m + 1; i <= ix; i++)
f = f * (n1 - i + 1) * (k - i + 1) / (n2 - k + i) / i;
} else if (m > ix) {
for (i = ix + 1; i <= m; i++)
f = f * i * (n2 - k + i) / (n1 - i + 1) / (k - i + 1);
}
if (v <= f) {
reject = FALSE;
}
} else {
/* squeeze using upper and lower bounds */
y = ix;
y1 = y + 1.0;
ym = y - m;
yn = n1 - y + 1.0;
yk = k - y + 1.0;
nk = n2 - k + y1;
r = -ym / y1;
s = ym / yn;
t = ym / yk;
e = -ym / nk;
g = yn * yk / (y1 * nk) - 1.0;
dg = 1.0;
if (g < 0.0)
dg = 1.0 + g;
gu = g * (1.0 + g * (-0.5 + g / 3.0));
gl = gu - .25 * (g * g * g * g) / dg;
xm = m + 0.5;
xn = n1 - m + 0.5;
xk = k - m + 0.5;
nm = n2 - k + xm;
ub = y * gu - m * gl + deltau
+ xm * r * (1. + r * (-0.5 + r / 3.0))
+ xn * s * (1. + s * (-0.5 + s / 3.0))
+ xk * t * (1. + t * (-0.5 + t / 3.0))
+ nm * e * (1. + e * (-0.5 + e / 3.0));
/* test against upper bound */
alv = log(v);
if (alv > ub) {
reject = TRUE;
} else {
/* test against lower bound */
dr = xm * (r * r * r * r);
if (r < 0.0)
dr /= (1.0 + r);
ds = xn * (s * s * s * s);
if (s < 0.0)
ds /= (1.0 + s);
dt = xk * (t * t * t * t);
if (t < 0.0)
dt /= (1.0 + t);
de = nm * (e * e * e * e);
if (e < 0.0)
de /= (1.0 + e);
if (alv < ub - 0.25 * (dr + ds + dt + de)
+ (y + m) * (gl - gu) - deltal) {
reject = FALSE;
}
else {
/* * Stirling's formula to machine accuracy
*/
if (alv <= (a - afc(ix) - afc(n1 - ix)
- afc(k - ix) - afc(n2 - k + ix))) {
reject = FALSE;
} else {
reject = TRUE;
}
}
}
}
if (reject)
goto L30;
}
/* return appropriate variate */
if (kk + kk >= tn) {
if (nn1 > nn2) {
ix = kk - nn2 + ix;
} else {
ix = nn1 - ix;
}
} else {
if (nn1 > nn2)
ix = kk - ix;
}
return ix;
}