Normal.cpp

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/* 
Copyright (C) 1988 Free Software Foundation
    written by Dirk Grunwald (grunwald@cs.uiuc.edu)
 
This file is part of the GNU C++ Library.  This library is free
software; you can redistribute it and/or modify it under the terms of
the GNU Library General Public License as published by the Free
Software Foundation; either version 2 of the License, or (at your
option) any later version.  This library 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 Library General Public License for more details.
You should have received a copy of the GNU Library General Public
License along with this library; if not, write to the Free Software
Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
*/
#ifdef __GNUG__
#pragma implementation
#endif
#include "Random.h"
#include "Normal.h"
//
//  See Simulation, Modelling & Analysis by Law & Kelton, pp259
//
//  This is the ``polar'' method.
// 
 
double Normal::operator()()
{
    
    if (haveCachedNormal == 1) {
    haveCachedNormal = 0;
    return(cachedNormal * pStdDev + pMean );
    } else {
    
    for(;;) {
        double u1 = pGenerator -> asDouble();
        double u2 = pGenerator -> asDouble();
        double v1 = 2 * u1 - 1;
        double v2 = 2 * u2 - 1;
        double w = (v1 * v1) + (v2 * v2);
        
//
//  We actually generate two IID normal distribution variables.
//  We cache the one & return the other.
// 
        if (w <= 1) {
        double y = sqrt( (-2 * log(w)) / w);
        double x1 = v1 * y;
        double x2 = v2 * y;
        
        haveCachedNormal = 1;
        cachedNormal = x2;
        return(x1 * pStdDev + pMean);
        }
    }
    }
}