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Diffstat (limited to 'src/rand')
-rw-r--r-- | src/rand/pcg.hpp | 207 |
1 files changed, 207 insertions, 0 deletions
diff --git a/src/rand/pcg.hpp b/src/rand/pcg.hpp new file mode 100644 index 0000000..8e74d11 --- /dev/null +++ b/src/rand/pcg.hpp @@ -0,0 +1,207 @@ +/* + * Tiny self-contained version of the PCG Random Number Generation for C++ + * put together from pieces of the much larger C/C++ codebase. + * Wenzel Jakob, February 2015 + * + * The PCG random number generator was developed by Melissa O'Neill + * <[email protected]> + * + * Licensed under the Apache License, Version 2.0 (the "License"); + * you may not use this file except in compliance with the License. + * You may obtain a copy of the License at + * + * http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + * + * For additional information about the PCG random number generation scheme, + * including its license and other licensing options, visit + * + * http://www.pcg-random.org + */ + +#pragma once + +#define PCG32_DEFAULT_STATE 0x853c49e6748fea9bULL +#define PCG32_DEFAULT_STREAM 0xda3e39cb94b95bdbULL +#define PCG32_MULT 0x5851f42d4c957f2dULL + +#include <algorithm> +#include <cassert> +#include <cmath> +#include <cstdint> + +/// PCG32 Pseudorandom number generator +struct Pcg32 { + /// Initialize the pseudorandom number generator with default seed + Pcg32() : state(PCG32_DEFAULT_STATE), inc(PCG32_DEFAULT_STREAM) {} + + /// Initialize the pseudorandom number generator with the \ref seed() function + Pcg32(uint64_t initstate, uint64_t initseq = 1u) { seed(initstate, initseq); } + + /** + * \brief Seed the pseudorandom number generator + * + * Specified in two parts: a state initializer and a sequence selection + * constant (a.k.a. stream id) + */ + void seed(uint64_t initstate, uint64_t initseq = 1) { + state = 0U; + inc = (initseq << 1u) | 1u; + next_u32(); + state += initstate; + next_u32(); + } + + /// Generate a uniformly distributed unsigned 32-bit random number + uint32_t next_u32() { + uint64_t oldstate = state; + state = oldstate * PCG32_MULT + inc; + uint32_t xorshifted = (uint32_t)(((oldstate >> 18u) ^ oldstate) >> 27u); + uint32_t rot = (uint32_t)(oldstate >> 59u); + return (xorshifted >> rot) | (xorshifted << ((~rot + 1u) & 31)); + } + + /// Generate a uniformly distributed number, r, where 0 <= r < bound + uint32_t next_u32(uint32_t bound) { + // To avoid bias, we need to make the range of the RNG a multiple of + // bound, which we do by dropping output less than a threshold. + // A naive scheme to calculate the threshold would be to do + // + // uint32_t threshold = 0x100000000ull % bound; + // + // but 64-bit div/mod is slower than 32-bit div/mod (especially on + // 32-bit platforms). In essence, we do + // + // uint32_t threshold = (0x100000000ull-bound) % bound; + // + // because this version will calculate the same modulus, but the LHS + // value is less than 2^32. + + uint32_t threshold = (~bound + 1u) % bound; + + // Uniformity guarantees that this loop will terminate. In practice, it + // should usually terminate quickly; on average (assuming all bounds are + // equally likely), 82.25% of the time, we can expect it to require just + // one iteration. In the worst case, someone passes a bound of 2^31 + 1 + // (i.e., 2147483649), which invalidates almost 50% of the range. In + // practice, bounds are typically small and only a tiny amount of the range + // is eliminated. + for (;;) { + uint32_t r = next_u32(); + if (r >= threshold) + return r % bound; + } + } + + /// Generate a single precision floating point value on the interval [0, 1) + float next_f32() { + /* Trick from MTGP: generate an uniformly distributed + single precision number in [1,2) and subtract 1. */ + union { + uint32_t u; + float f; + } x; + x.u = (next_u32() >> 9) | 0x3f800000u; + return x.f - 1.0f; + } + + /** + * \brief Generate a double precision floating point value on the interval [0, 1) + * + * \remark Since the underlying random number generator produces 32 bit output, + * only the first 32 mantissa bits will be filled (however, the resolution is still + * finer than in \ref nextFloat(), which only uses 23 mantissa bits) + */ + double next_f64() { + /* Trick from MTGP: generate an uniformly distributed + double precision number in [1,2) and subtract 1. */ + union { + uint64_t u; + double d; + } x; + x.u = ((uint64_t)next_u32() << 20) | 0x3ff0000000000000ULL; + return x.d - 1.0; + } + + /** + * \brief Multi-step advance function (jump-ahead, jump-back) + * + * The method used here is based on Brown, "Random Number Generation + * with Arbitrary Stride", Transactions of the American Nuclear + * Society (Nov. 1994). The algorithm is very similar to fast + * exponentiation. + */ + void advance(int64_t delta_) { + uint64_t + cur_mult = PCG32_MULT, + cur_plus = inc, + acc_mult = 1u, + acc_plus = 0u; + + /* Even though delta is an unsigned integer, we can pass a signed + integer to go backwards, it just goes "the long way round". */ + uint64_t delta = (uint64_t)delta_; + + while (delta > 0) { + if (delta & 1) { + acc_mult *= cur_mult; + acc_plus = acc_plus * cur_mult + cur_plus; + } + cur_plus = (cur_mult + 1) * cur_plus; + cur_mult *= cur_mult; + delta /= 2; + } + state = acc_mult * state + acc_plus; + } + + /** + * \brief Draw uniformly distributed permutation and permute the + * given STL container + * + * From: Knuth, TAoCP Vol. 2 (3rd 3d), Section 3.4.2 + */ + template <typename Iterator> + void shuffle(Iterator begin, Iterator end) { + for (Iterator it = end - 1; it > begin; --it) + std::iter_swap(it, begin + next_u32((uint32_t)(it - begin + 1))); + } + + /// Compute the distance between two PCG32 pseudorandom number generators + int64_t operator-(const Pcg32& other) const { + assert(inc == other.inc); + + uint64_t + cur_mult = PCG32_MULT, + cur_plus = inc, + cur_state = other.state, + the_bit = 1u, + distance = 0u; + + while (state != cur_state) { + if ((state & the_bit) != (cur_state & the_bit)) { + cur_state = cur_state * cur_mult + cur_plus; + distance |= the_bit; + } + assert((state & the_bit) == (cur_state & the_bit)); + the_bit <<= 1; + cur_plus = (cur_mult + 1ULL) * cur_plus; + cur_mult *= cur_mult; + } + + return (int64_t)distance; + } + + /// Equality operator + bool operator==(const Pcg32& other) const { return state == other.state && inc == other.inc; } + + /// Inequality operator + bool operator!=(const Pcg32& other) const { return state != other.state || inc != other.inc; } + + uint64_t state; // RNG state. All values are possible. + uint64_t inc; // Controls which RNG sequence (stream) is selected. Must *always* be odd. +}; |