KnuthUniformRng Class Reference

Uniform random number generator. More...

#include <ql/math/randomnumbers/knuthuniformrng.hpp>

Collaboration diagram for KnuthUniformRng:

Public Types
typedef Sample< Real >	sample_type

Public Member Functions
	KnuthUniformRng (long seed=0)
sample_type	next () const

Private Member Functions
double	mod_sum (double x, double y) const
bool	is_odd (int s) const
void	ranf_start (long seed)
void	ranf_array (std::vector< double > &aa, int n) const
double	ranf_arr_cycle () const

Private Attributes
std::vector< double >	ranf_arr_buf
size_t	ranf_arr_ptr
size_t	ranf_arr_sentinel
std::vector< double >	ran_u

Static Private Attributes
static const int	KK = 100
static const int	LL = 37
static const int	TT = 70
static const int	QUALITY = 1009

Detailed Description

Uniform random number generator.

Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6.

Note

This is not Knuth's original implementation which is available at http://www-cs-faculty.stanford.edu/~knuth/programs.html, but rather a slightly modified version wrapped in a C++ class. Such modifications did not affect the code but only the data structures used, which were converted to their standard C++ equivalents.

Definition at line 44 of file knuthuniformrng.hpp.

Member Typedef Documentation

sample_type

typedef Sample<Real> sample_type

Definition at line 46 of file knuthuniformrng.hpp.

Constructor & Destructor Documentation

KnuthUniformRng()

KnuthUniformRng ( long  seed = 0 )

explicit

if the given seed is 0, a random seed will be chosen based on clock()

Definition at line 30 of file knuthuniformrng.cpp.

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Member Function Documentation

next()

KnuthUniformRng::sample_type next

(

)

const

returns a sample with weight 1.0 containing a random number uniformly chosen from (0.0,1.0)

Definition at line 68 of file knuthuniformrng.hpp.

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mod_sum()

double mod_sum ( double  x, double  y  ) const

private

Definition at line 75 of file knuthuniformrng.hpp.

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is_odd()

bool is_odd ( int  s ) const

private

Definition at line 79 of file knuthuniformrng.hpp.

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ranf_start()

void ranf_start ( long  seed )

private

Definition at line 36 of file knuthuniformrng.cpp.

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ranf_array()

void ranf_array ( std::vector< double > &  aa, int  n  ) const

private

Definition at line 75 of file knuthuniformrng.cpp.

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ranf_arr_cycle()

double ranf_arr_cycle ( ) const

private

Definition at line 84 of file knuthuniformrng.cpp.

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Member Data Documentation

KK

const int KK = 100

staticprivate

Definition at line 54 of file knuthuniformrng.hpp.

LL

const int LL = 37

staticprivate

Definition at line 54 of file knuthuniformrng.hpp.

TT

const int TT = 70

staticprivate

Definition at line 54 of file knuthuniformrng.hpp.

QUALITY

const int QUALITY = 1009

staticprivate

Definition at line 54 of file knuthuniformrng.hpp.

ranf_arr_buf

std::vector<double> ranf_arr_buf

mutableprivate

Definition at line 55 of file knuthuniformrng.hpp.

ranf_arr_ptr

size_t ranf_arr_ptr

mutableprivate

Definition at line 56 of file knuthuniformrng.hpp.

ranf_arr_sentinel

size_t ranf_arr_sentinel

private

Definition at line 56 of file knuthuniformrng.hpp.

ran_u

std::vector<double> ran_u

mutableprivate

Definition at line 57 of file knuthuniformrng.hpp.