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Boost-Commit : |
Subject: [Boost-commit] svn:boost r64225 - in sandbox/SOC/2010/quasi_random: boost/random libs/random/test
From: jvd_at_[hidden]
Date: 2010-07-21 13:04:40
Author: qrng
Date: 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
New Revision: 64225
URL: http://svn.boost.org/trac/boost/changeset/64225
Log:
Separated d_star implementations from tests, moved qrng generator code to appropriate headers.
Added:
sandbox/SOC/2010/quasi_random/libs/random/test/d_star.hpp (contents, props changed)
sandbox/SOC/2010/quasi_random/libs/random/test/identity_distribution.hpp (contents, props changed)
Removed:
sandbox/SOC/2010/quasi_random/libs/random/test/qrng_typedefs.hpp
Text files modified:
sandbox/SOC/2010/quasi_random/boost/random/faure.hpp | 44 +-
sandbox/SOC/2010/quasi_random/boost/random/niederreiter_base2.hpp | 45 +-
sandbox/SOC/2010/quasi_random/boost/random/sobol.hpp | 45 +-
sandbox/SOC/2010/quasi_random/libs/random/test/discrepancy.cpp | 692 +--------------------------------------
sandbox/SOC/2010/quasi_random/libs/random/test/gsl_validate.cpp | 12
5 files changed, 99 insertions(+), 739 deletions(-)
Modified: sandbox/SOC/2010/quasi_random/boost/random/faure.hpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/boost/random/faure.hpp (original)
+++ sandbox/SOC/2010/quasi_random/boost/random/faure.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -358,31 +358,27 @@
} // namespace random
-//It would have been nice to do something like this, but it seems that doxygen
-//simply won't show those typedefs, so we spell them out by hand.
-/*
-#define BOOST_FAURE_TYPEDEF(z, N, text) \
-typedef random::faure<double, N> faure_##N##d; \
-//
-
-BOOST_PP_REPEAT_FROM_TO(1, 229, BOOST_FAURE_TYPEDEF, unused)
-
-#undef BOOST_FAURE_TYPEDEF
-*/
-
-typedef random::faure<double, 1> faure_1d;
-typedef random::faure<double, 2> faure_2d;
-typedef random::faure<double, 3> faure_3d;
-typedef random::faure<double, 4> faure_4d;
-typedef random::faure<double, 5> faure_5d;
-typedef random::faure<double, 6> faure_6d;
-typedef random::faure<double, 7> faure_7d;
-typedef random::faure<double, 8> faure_8d;
-typedef random::faure<double, 9> faure_9d;
-typedef random::faure<double, 10> faure_10d;
-typedef random::faure<double, 11> faure_11d;
-typedef random::faure<double, 12> faure_12d;
+/** @cond */
+template<std::size_t Dimension, typename T = double>
+struct faure_generator
+{
+ typedef boost::random::faure<T, Dimension> type;
+};
+/** @endcond */
+
+typedef faure_generator< 1 >::type faure_1d;
+typedef faure_generator< 2 >::type faure_2d;
+typedef faure_generator< 3 >::type faure_3d;
+typedef faure_generator< 4 >::type faure_4d;
+typedef faure_generator< 5 >::type faure_5d;
+typedef faure_generator< 6 >::type faure_6d;
+typedef faure_generator< 7 >::type faure_7d;
+typedef faure_generator< 8 >::type faure_8d;
+typedef faure_generator< 9 >::type faure_9d;
+typedef faure_generator< 10 >::type faure_10d;
+typedef faure_generator< 11 >::type faure_11d;
+typedef faure_generator< 12 >::type faure_12d;
} // namespace boost
Modified: sandbox/SOC/2010/quasi_random/boost/random/niederreiter_base2.hpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/boost/random/niederreiter_base2.hpp (original)
+++ sandbox/SOC/2010/quasi_random/boost/random/niederreiter_base2.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -431,31 +431,26 @@
} // namespace random
-//It would have been nice to do something like this, but it seems that doxygen
-//simply won't show those typedefs, so we spell them out by hand.
-
-/*
-#define BOOST_NIEDERREITER_BASE2_TYPEDEF(z, N, text) \
-typedef random::niederreiter_base2<uint32_t, N, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_##N##d; \
-//
-
-BOOST_PP_REPEAT_FROM_TO(1, 21, BOOST_NIEDERREITER_BASE2_TYPEDEF, unused)
-
-#undef BOOST_NIEDERREITER_BASE2_TYPEDEF
-*/
-
-typedef random::niederreiter_base2<uint32_t, 1, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_1d;
-typedef random::niederreiter_base2<uint32_t, 2, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_2d;
-typedef random::niederreiter_base2<uint32_t, 3, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_3d;
-typedef random::niederreiter_base2<uint32_t, 4, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_4d;
-typedef random::niederreiter_base2<uint32_t, 5, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_5d;
-typedef random::niederreiter_base2<uint32_t, 6, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_6d;
-typedef random::niederreiter_base2<uint32_t, 7, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_7d;
-typedef random::niederreiter_base2<uint32_t, 8, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_8d;
-typedef random::niederreiter_base2<uint32_t, 9, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_9d;
-typedef random::niederreiter_base2<uint32_t, 10, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_10d;
-typedef random::niederreiter_base2<uint32_t, 11, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_11d;
-typedef random::niederreiter_base2<uint32_t, 12, 1, 2*((uint32_t)1 << 31)> niederreiter_base2_12d;
+/** @cond */
+template<std::size_t Dimension>
+struct niederreiter_base2_generator
+{
+ typedef random::niederreiter_base2<boost::uint32_t, Dimension, 1, 2*((boost::uint32_t)1 << 31)> type;
+};
+/** @endcond */
+
+typedef niederreiter_base2_generator< 1 >::type niederreiter_base2_1d;
+typedef niederreiter_base2_generator< 2 >::type niederreiter_base2_2d;
+typedef niederreiter_base2_generator< 3 >::type niederreiter_base2_3d;
+typedef niederreiter_base2_generator< 4 >::type niederreiter_base2_4d;
+typedef niederreiter_base2_generator< 5 >::type niederreiter_base2_5d;
+typedef niederreiter_base2_generator< 6 >::type niederreiter_base2_6d;
+typedef niederreiter_base2_generator< 7 >::type niederreiter_base2_7d;
+typedef niederreiter_base2_generator< 8 >::type niederreiter_base2_8d;
+typedef niederreiter_base2_generator< 9 >::type niederreiter_base2_9d;
+typedef niederreiter_base2_generator< 10 >::type niederreiter_base2_10d;
+typedef niederreiter_base2_generator< 11 >::type niederreiter_base2_11d;
+typedef niederreiter_base2_generator< 12 >::type niederreiter_base2_12d;
} // namespace boost
Modified: sandbox/SOC/2010/quasi_random/boost/random/sobol.hpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/boost/random/sobol.hpp (original)
+++ sandbox/SOC/2010/quasi_random/boost/random/sobol.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -400,31 +400,26 @@
} // namespace random
-//It would have been nice to do something like this, but it seems that doxygen
-//simply won't show those typedefs, so we spell them out by hand.
-
-/*
-#define BOOST_SOBOL_TYPEDEF(z, N, text) \
-typedef random::sobol<uint32_t, N, 1, (uint32_t)1 << 31> sobol_##N##d; \
-//
-
-BOOST_PP_REPEAT_FROM_TO(1, 21, BOOST_SOBOL_TYPEDEF, unused)
-
-#undef BOOST_SOBOL_TYPEDEF
-*/
-
-typedef random::sobol<uint32_t, 1, 1, (uint32_t)1 << 31> sobol_1d;
-typedef random::sobol<uint32_t, 2, 1, (uint32_t)1 << 31> sobol_2d;
-typedef random::sobol<uint32_t, 3, 1, (uint32_t)1 << 31> sobol_3d;
-typedef random::sobol<uint32_t, 4, 1, (uint32_t)1 << 31> sobol_4d;
-typedef random::sobol<uint32_t, 5, 1, (uint32_t)1 << 31> sobol_5d;
-typedef random::sobol<uint32_t, 6, 1, (uint32_t)1 << 31> sobol_6d;
-typedef random::sobol<uint32_t, 7, 1, (uint32_t)1 << 31> sobol_7d;
-typedef random::sobol<uint32_t, 8, 1, (uint32_t)1 << 31> sobol_8d;
-typedef random::sobol<uint32_t, 9, 1, (uint32_t)1 << 31> sobol_9d;
-typedef random::sobol<uint32_t, 10, 1, (uint32_t)1 << 31> sobol_10d;
-typedef random::sobol<uint32_t, 11, 1, (uint32_t)1 << 31> sobol_11d;
-typedef random::sobol<uint32_t, 12, 1, (uint32_t)1 << 31> sobol_12d;
+/** @cond */
+template<std::size_t Dimension>
+struct sobol_generator
+{
+ typedef random::sobol<uint32_t, Dimension, 1, (uint32_t)1 << 31> type;
+};
+/** @endcond */
+
+typedef sobol_generator< 1 >::type sobol_1d;
+typedef sobol_generator< 2 >::type sobol_2d;
+typedef sobol_generator< 3 >::type sobol_3d;
+typedef sobol_generator< 4 >::type sobol_4d;
+typedef sobol_generator< 5 >::type sobol_5d;
+typedef sobol_generator< 6 >::type sobol_6d;
+typedef sobol_generator< 7 >::type sobol_7d;
+typedef sobol_generator< 8 >::type sobol_8d;
+typedef sobol_generator< 9 >::type sobol_9d;
+typedef sobol_generator< 10 >::type sobol_10d;
+typedef sobol_generator< 11 >::type sobol_11d;
+typedef sobol_generator< 12 >::type sobol_12d;
} // namespace boost
Added: sandbox/SOC/2010/quasi_random/libs/random/test/d_star.hpp
==============================================================================
--- (empty file)
+++ sandbox/SOC/2010/quasi_random/libs/random/test/d_star.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -0,0 +1,688 @@
+// Copyright Justinas Vygintas Daugmaudis, 2010.
+// Use, modification and distribution is subject to the
+// Boost Software License, Version 1.0. (See accompanying
+// file LICENSE-1.0 or http://www.boost.org/LICENSE-1.0)
+
+#ifndef BOOST_RANDOM_D_STAR_HEADER_INCLUDED
+#define BOOST_RANDOM_D_STAR_HEADER_INCLUDED
+
+#include <cmath> // std::pow, std::abs
+#include <vector>
+#include <stdexcept>
+#include <boost/throw_exception.hpp>
+#include <boost/noncopyable.hpp>
+#include <boost/pool/pool.hpp>
+#include <boost/shared_array.hpp>
+#include <boost/random/uniform_real.hpp>
+
+// The time required to compute the star discrepancy of a sequence of points
+// in a multidimensional unit cube is prohibitive and the best known upper
+// bounds for the star discrepancy of (t,s)-sequences and (t,m,s)-nets are
+// useful only for sample sizes that grow exponentially with the dimension s.
+//
+// Here we implement an algorithm to compute upper bounds for the star discrepancy of an
+// arbitrary set of n points in the s-dimensional unit cube as proposed in
+// Eric Thiemard's paper: "Computing bounds for the star discrepancy", Computing 65 (2000) 2, 169-186.
+// For an integer k > 1, this algorithm computes in O(ns log k+2^sk^s) time
+// and O(k^s) space a bound that is no better than a function depending on s and k.
+
+namespace detail {
+
+// A basic tree node -- POD
+struct tree_node
+{
+ int id;
+ tree_node* node;
+};
+
+struct tree_handle
+{
+ template<typename Pool>
+ explicit tree_handle(Pool& p, int sz)
+ : lower_bound(1)
+ {
+ // allocate 1 bookkeeping node + sz data nodes
+ children = (tree_node*) p.ordered_malloc(1 + sz);
+ if( children == 0 )
+ boost::throw_exception( std::bad_alloc() );
+
+ // zero memory
+ tree_node zero = { 0, 0 };
+ std::fill(children, children + 1 + sz, zero);
+
+ children[0].id = sz;
+ }
+
+ int& operator[](int n) { return data()[n].id; }
+ int operator[](int n) const { return data()[n].id; }
+
+ int low() const { return lower_bound - 1; }
+ int high() const { return children_count() - 1; }
+ int children_count() const { return children[0].id; }
+ void low_bound(int sz) { lower_bound = sz; }
+
+ tree_handle subtree(int n) const
+ {
+ return tree_handle(data()[n].node);
+ }
+
+ template<typename Pool, typename Range, typename Comparator>
+ tree_handle get_subtree(Pool& p, Range range, Comparator comp)
+ {
+ if( !has_subtree(range.second) )
+ {
+ int n_elem = range.second - range.first + 1;
+
+ tree_handle tree(p, n_elem);
+ for(int i = 0; i < n_elem; ++i)
+ tree[i] = (*this)[range.first + i]; // copy relevant data
+
+ if( 1 < n_elem )
+ sort_tree(tree, comp);
+
+ attach_subtree(range.second, tree);
+
+ return tree;
+ }
+ else
+ {
+ return subtree(range.second);
+ }
+ }
+
+private:
+ explicit tree_handle(tree_node* ptr)
+ : lower_bound(1)
+ , children(ptr)
+ {}
+
+ tree_node* data() const {
+ return children + 1; // !!!
+ }
+
+ bool has_subtree(int n) const
+ {
+ return data()[n].node != 0;
+ }
+
+ void attach_subtree(int n, const tree_handle& sub)
+ {
+ data()[n].node = sub.children;
+ }
+
+ // Never throws
+ template<typename Comparator>
+ inline friend void sort_tree(tree_handle& tree, Comparator comp) {
+ std::sort(tree.data(), tree.data() + tree.children_count(), comp);
+ }
+
+private:
+ int lower_bound;
+ tree_node* children;
+};
+
+
+// An s-dimensional table of values that are stored consecutively in the
+// memory area pointed by the given pointer.
+// The table is strictly read-only.
+template<typename T>
+struct value_table
+{
+ value_table(const T* values, std::size_t width)
+ : tbl(values), dim(width) {}
+ std::size_t width() const { return dim; }
+ T operator()(std::size_t i, std::size_t j) const {
+ return tbl[i * dim + j];
+ }
+private:
+ const T* tbl;
+ std::size_t dim;
+};
+
+
+// Sorting predicate
+template<typename T>
+struct branch_comparator_func
+{
+ explicit branch_comparator_func(value_table<T> pt, std::size_t ofs)
+ : table(pt), n_elem(ofs) {}
+ bool operator()(const tree_node& lhs, const tree_node& rhs) const {
+ return table(lhs.id, n_elem) < table(rhs.id, n_elem);
+ }
+private:
+ value_table<T> table;
+ std::size_t n_elem;
+};
+
+template<typename T>
+inline branch_comparator_func<T> branch_compare(value_table<T> pt, std::size_t ofs = 0) {
+ return branch_comparator_func<T>(pt, ofs);
+}
+
+
+// Functors that more or less do forwarding back to the LexTree.
+// Mostly used to customize the behaviour of binary search.
+// (Simpler than member function binding.)
+struct do_nothing
+{
+ template<typename Range>
+ void operator()(Range) const
+ { /* do nothing at all */ }
+};
+
+struct cutoff_tree
+{
+ tree_handle* nd;
+ cutoff_tree(tree_handle& n) : nd(&n) {}
+ template<typename Range>
+ void operator()(Range range)
+ {
+ nd->low_bound(range.first + 1);
+ }
+};
+
+struct count_ranges
+{
+ template<typename LexTree, typename Range, typename BoundVector>
+ int operator()(LexTree&, tree_handle&, Range range, BoundVector) const
+ { return range.second - range.first + 1; }
+};
+
+struct explode_tree
+{
+ template<typename LexTree, typename Range, typename BoundVector>
+ std::size_t operator()(LexTree& lex, tree_handle& nd, Range range, BoundVector rv) const
+ {
+ tree_handle b = subtree(lex, nd, range, rv);
+ lex.insert(b, rv.range());
+ return lex.explore(b, rv);
+ }
+};
+
+struct explore_implicit_tree
+{
+ template<typename LexTree, typename Range, typename BoundVector>
+ std::size_t operator()(LexTree& lex, tree_handle& nd, Range range, BoundVector rv) const
+ {
+ tree_handle b = subtree(lex, nd, range, rv);
+ return lex.explore(b, rv);
+ }
+};
+
+template<typename T>
+class range_tree : private boost::noncopyable
+{
+private:
+ typedef std::vector<T> vector_t;
+
+ struct vector_range_pair
+ {
+ vector_range_pair deepen() const
+ { return vector_range_pair(p_ptr, m_range + 1); }
+ std::size_t range() const { return m_range; }
+ T value() const { return (*p_ptr)[m_range]; }
+ std::size_t next_range() { return ++m_range; }
+ vector_range_pair(const vector_t& p,const std::size_t ofs)
+ : m_range(ofs), p_ptr(&p)
+ {}
+ private:
+ vector_range_pair(const vector_t* p, const std::size_t ofs)
+ : m_range(ofs), p_ptr(p)
+ {}
+ std::size_t m_range;
+ const vector_t* p_ptr;
+ };
+
+public:
+ range_tree(value_table<T> values, const tree_handle& root, boost::pool<>& p)
+ : table(values)
+ , subtotal(0)
+ , lex(values.width())
+ , pool_(p)
+ {
+ insert(root, 0);
+ }
+
+ std::size_t explore(const vector_t& p, const std::size_t ofs)
+ {
+ BOOST_ASSERT( table.width() == p.size() );
+
+ vector_range_pair rv(p, ofs);
+
+ int total = 0;
+ std::size_t sz = lex[ofs].size();
+ if( ofs + 1 == table.width() )
+ {
+ while( sz-- != 0 )
+ {
+ tree_handle tree = lex[ofs][sz];
+ int low = tree.low();
+ int high = tree.high();
+ if( high < low )
+ {
+ lex[ofs][sz] = lex[ofs].back();
+ lex[ofs].pop_back();
+ subtotal += low;
+ }
+ else
+ {
+ total += low;
+ total += bin_explore(tree, std::make_pair(low, high), rv, count_ranges(),
+ cutoff_tree(lex[ofs][sz]));
+ }
+ }
+ total += subtotal;
+ }
+ else
+ {
+ subtotal = 0;
+ lex[ofs + 1].clear();
+ for(std::size_t i = 0; i != sz; ++i)
+ {
+ tree_handle tree = lex[ofs][i];
+ int start = tree.low();
+ int low = 0;
+ int high = tree.high();
+ while( low != start )
+ {
+ int next = ((1 + low) + high) / 2;
+ tree_handle branch = tree.subtree(next);
+ insert(branch, ofs + 1);
+ total += explore(branch, rv.deepen());
+ low = next + 1;
+ }
+ total += bin_explore(tree, std::make_pair(low, high), rv, explode_tree(),
+ cutoff_tree(lex[ofs][i]));
+ }
+ }
+ return total;
+ }
+
+private:
+ friend struct explode_tree;
+ friend struct explore_implicit_tree;
+
+ template<typename Range, typename BoundVector>
+ inline friend tree_handle subtree(range_tree<T>& lex, tree_handle& nd, Range range, BoundVector rv) {
+ // adds a new (or gets the existing) subtree, sorted at the specified level
+ return nd.get_subtree(lex.pool_, range, branch_compare(lex.table, rv.range()));
+ }
+
+ void insert(const tree_handle& nd, std::size_t ofs)
+ {
+ lex[ofs].push_back(nd);
+ }
+
+ template<typename BoundVector>
+ bool in_range(const tree_handle& nd, std::size_t i, BoundVector rv) const
+ {
+ return table(nd[i], rv.range()) < rv.value();
+ }
+
+ template<typename Range, typename BoundVector, typename Explore, typename Right>
+ std::size_t bin_explore(tree_handle& nd, Range range,
+ BoundVector rv, Explore explore, Right on_right)
+ {
+ bool right = true;
+ std::size_t total = 0;
+ while( range.first <= range.second )
+ {
+ int next = ((1 + range.first) + range.second) / 2;
+ if( in_range(nd, next, rv) )
+ {
+ total += explore(*this, nd, std::make_pair(range.first, next), rv.deepen());
+ range.first = next + 1;
+ if( right ) {
+ on_right(range);
+ }
+ }
+ else
+ {
+ right = false;
+ range.second = next - 1;
+ }
+ }
+ return total;
+ }
+
+ template<typename BoundVector, typename Explore>
+ std::size_t bin_explore(tree_handle& nd, BoundVector rv, Explore explore)
+ {
+ return bin_explore(nd, std::make_pair(0, nd.high()), rv, explore, do_nothing());
+ }
+
+ template<typename BoundVector>
+ std::size_t explore(tree_handle& nd, BoundVector rv)
+ {
+ // how many children do we have?
+ const int sz = nd.children_count();
+
+ // quick case
+ if( !in_range(nd, 0, rv) )
+ return 0;
+
+ // a single element case
+ if( sz == 1 )
+ {
+ while( rv.next_range() != table.width() )
+ if( !in_range(nd, 0, rv) )
+ return 0;
+ return 1;
+ }
+
+ // the last column to be explored
+ if( rv.range() + 1 == table.width() )
+ {
+ // another quick case
+ return in_range(nd, sz - 1, rv) ? sz:
+ bin_explore(nd, rv, count_ranges());
+ }
+
+ return bin_explore(nd, rv, explore_implicit_tree());
+ }
+
+private:
+ typedef std::vector<tree_handle> tree_t;
+ typedef std::vector<tree_t> forest_t;
+
+ value_table<T> table; // table of values
+ int subtotal; // cached
+ forest_t lex;
+
+ boost::pool<>& pool_;
+};
+
+
+// D-star state, uses range trees for counting
+template<typename T>
+class star_discrepancy
+{
+private:
+ struct range_tree_pair
+ {
+ range_tree<T> alpha, beta;
+ template<typename Pool>
+ range_tree_pair(value_table<T> values, const tree_handle& root, Pool& p)
+ : alpha(values, root, p)
+ , beta(values, root, p)
+ {}
+ };
+
+public:
+ typedef std::vector<T> vector_t; // type shortcuts
+ typedef std::pair<T, T> bounds_t;
+
+ // Initialize point table
+ template<typename QRNG, typename Distribution>
+ star_discrepancy(QRNG& q, Distribution d, std::size_t dimension, std::size_t n, T eps)
+ : dim(dimension) // for non-QRNGs q.dimension() is malformed
+ , n_elem(n)
+ , epsilon(eps)
+ , points(new T[dim * n_elem])
+ {
+ // All points must be bounded by the unit hypercube.
+ for(std::size_t i = 0; i != dim * n_elem; ++i)
+ {
+ T value = d(q);
+ if( value < T(0) || value > T(1) )
+ boost::throw_exception( std::invalid_argument("d_star") );
+ points[i] = value;
+ }
+ }
+
+ // Initialize point table
+ template<std::size_t Dimension, std::size_t N>
+ star_discrepancy(T (&pt)[N][Dimension], T eps)
+ : dim(Dimension)
+ , n_elem(N)
+ , epsilon(eps)
+ , points(new T[dim * n_elem])
+ {
+ // All points must be bounded by the unit hypercube.
+ for(std::size_t i = 0; i != n_elem; ++i)
+ {
+ for(std::size_t j = 0; j != dim; ++j)
+ {
+ T value = pt[i][j];
+ if( value < T(0) || value > T(1) )
+ boost::throw_exception( std::invalid_argument("d_star") );
+ points[i * dim + j] = value;
+ }
+ }
+ }
+
+ // Computes lower and upper discrepancy bounds
+ bounds_t compute() const
+ {
+ bounds_t bounds = std::make_pair(T(), T());
+
+ boost::pool<> p(sizeof(tree_node));
+ tree_handle root = create_root(p);
+ range_tree_pair tree(get_table(), root, p);
+
+ // Now we carry out sequence decomposition into subintervals
+ vector_t alpha(dim, T(0)), beta(dim, T(1));
+ decompose(alpha, beta, tree, 0, T(1), bounds);
+
+ return bounds;
+ }
+
+private:
+
+ T volume_diff(T volume, std::size_t n) const
+ {
+ return volume - static_cast<T>(n) / static_cast<T>(n_elem);
+ }
+
+ T abs_volume(T volume, std::size_t n) const
+ {
+ return std::abs( volume_diff(volume, n) );
+ }
+
+ static void upper_bound(T volume, bounds_t& bounds)
+ {
+ if( bounds.second < volume )
+ {
+ bounds.second = volume;
+ }
+ }
+
+ T compute_delta(const vector_t& alpha, const vector_t& beta, std::size_t start) const
+ {
+ T pbetamin = T(1);
+ for(std::size_t i = start; i != dim; ++i)
+ pbetamin *= beta[i];
+ T pbeta = pbetamin;
+
+ T palpha = T(1);
+ for(std::size_t i = 0; i != start; ++i) {
+ pbetamin *= beta[i];
+ palpha *= alpha[i];
+ }
+
+ pbetamin -= epsilon;
+ return std::pow( pbetamin / ( pbeta * palpha ), T(1) / T(dim - start) );
+ }
+
+ template<typename Predicate>
+ T volume_bound(const vector_t& p, Predicate pred, const T init) const
+ {
+ BOOST_ASSERT( p.size() == dim );
+
+ T volume = T(1);
+ for(std::size_t j = 0; j != dim; ++j)
+ {
+ T u = init;
+ for(std::size_t i = 0; i != n_elem; ++i)
+ {
+ T pt = points[i*dim + j];
+ if( pred(u, pt) && !pred(p[j], pt) )
+ u = pt;
+ }
+ volume *= u;
+ }
+ return volume;
+ }
+
+ void lower_bound(T volume, std::size_t npoints, const vector_t& p, bounds_t& b) const
+ {
+ if( b.first < abs_volume(volume, npoints) )
+ {
+ if( volume_diff(volume, npoints) < T() )
+ volume = volume_bound(p, std::less<T>(), T());
+ else
+ volume = volume_bound(p, std::greater<T>(), T(1));
+ // recompute lower bound approximation
+ b.first = abs_volume(volume, npoints);
+ }
+ }
+
+ void evaluate(const vector_t& alpha, const vector_t& beta, range_tree_pair& tree,
+ std::size_t start,
+ bounds_t& b) const
+ {
+ T va = T(1); // volume alpha
+ T vb = T(1); // volume beta
+ for(std::size_t i = 0; i != dim; ++i) {
+ va *= alpha[i];
+ vb *= beta[i];
+ }
+
+ // Here we evaluate uppper bound
+ std::size_t nalpha = tree.alpha.explore(alpha, start);
+ std::size_t nbeta = tree.beta.explore(beta, start);
+ upper_bound(-volume_diff(va, nbeta), b);
+ upper_bound(volume_diff(vb, nalpha), b);
+
+ // ...and here we evaluate lower bound
+ lower_bound(va, nalpha, alpha, b);
+ lower_bound(vb, nbeta, beta, b);
+ }
+
+ // In the original Eric Thiemard's paper
+ // "Computing bounds for the star discrepancy", Computing 65 (2000) 2, 169-186.
+ // the decomposition function requires O(k^s) space. Here we implement an optimized
+ // version of the function that requires O(k * (k-1) * (k-2) * .. * (k-s-1)) space.
+ void decompose(vector_t& alpha, vector_t& beta, range_tree_pair& tree,
+ std::size_t start, // starting element
+ T threshold, // decomposition threshold
+ bounds_t& b) const
+ {
+ T delta = compute_delta(alpha, beta, start);
+
+ // Here we preserve only those alpha values that are going to be changed.
+ // This is more efficient memory-wise than doing a full copy of alpha;
+ // the deeper we go the less elements we will have to preserve.
+ const vector_t oalpha(alpha.begin() + start, alpha.end());
+
+ T obeta = beta[start];
+ beta[start] *= delta;
+
+ threshold *= delta;
+ if( epsilon < threshold )
+ {
+ decompose(alpha, beta, tree, start, threshold, b);
+ for(std::size_t i = start + 1; i < dim; ++i)
+ {
+ alpha[i-1] = obeta * delta;
+ beta[i-1] = obeta;
+ obeta = beta[i];
+ beta[i] *= delta;
+ decompose(alpha, beta, tree, i, threshold, b);
+ }
+ }
+ else
+ {
+ std::size_t k = (start == 0) ? 0: start - 1;
+ evaluate(alpha, beta, tree, k++, b);
+ for(std::size_t i = start + 1; i < dim; ++i)
+ {
+ // evaluate member function is not modifying,
+ // so we can save one multiplication here
+ alpha[i-1] = beta[i-1];
+ beta[i-1] = obeta;
+ obeta = beta[i];
+ beta[i] *= delta;
+ evaluate(alpha, beta, tree, k++, b);
+ }
+ }
+
+ alpha[dim-1] = obeta * delta;
+ beta[dim-1] = obeta; // restore the last changed beta value
+ evaluate(alpha, beta, tree, dim - 1, b);
+
+ // Restore alpha values
+ std::copy(oalpha.begin(), oalpha.end(), alpha.begin() + start);
+ }
+
+ template<typename Pool>
+ tree_handle create_root(Pool& p) const
+ {
+ tree_handle tree(p, n_elem);
+
+ for(std::size_t i = 0; i != n_elem; ++i)
+ tree[i] = i;
+
+ sort_tree(tree, branch_compare(get_table()));
+
+ return tree;
+ }
+
+ // The lifetime of the returned table must not exceed the lifetime of this object
+ value_table<T> get_table() const
+ {
+ return value_table<T>(points.get(), dim);
+ }
+
+private:
+ const std::size_t dim;
+ const std::size_t n_elem;
+ const T epsilon;
+ boost::shared_array<T> points;
+};
+
+} // namespace detail
+
+
+// Accepts a table of values
+template<typename T, std::size_t Dimension, std::size_t N>
+inline typename detail::star_discrepancy<T>::bounds_t
+d_star(T (&pt)[N][Dimension], T epsilon)
+{
+ detail::star_discrepancy<T> discr(pt, epsilon);
+ return discr.compute();
+}
+
+// Accepts a pseudo-random number generator
+template<typename PRNG, typename Distribution>
+inline typename detail::star_discrepancy<
+ typename Distribution::result_type
+>::bounds_t
+d_star(PRNG& p, Distribution d, std::size_t dimension,
+ std::size_t n, typename Distribution::result_type epsilon)
+{
+ typedef typename Distribution::result_type value_t;
+ detail::star_discrepancy<value_t> discr(p, d, dimension, n, epsilon);
+ return discr.compute();
+}
+
+// Accepts a quasi-random number generator and distribution
+template<typename QRNG, typename Distribution>
+inline typename detail::star_discrepancy<
+ typename Distribution::result_type
+>::bounds_t
+d_star(QRNG& q, Distribution d,
+ std::size_t n, typename Distribution::result_type epsilon)
+{
+ return d_star(q, d, q.dimension(), n, epsilon);
+}
+
+// Accepts a quasi-random number generator; distribution is uniform_real<T>
+template<typename QRNG, typename T>
+inline typename detail::star_discrepancy<T>::bounds_t
+d_star(QRNG& q, std::size_t n, T epsilon)
+{
+ return d_star(q, boost::uniform_real<T>(), n, epsilon);
+}
+
+#endif // BOOST_RANDOM_D_STAR_HEADER_INCLUDED
Modified: sandbox/SOC/2010/quasi_random/libs/random/test/discrepancy.cpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/libs/random/test/discrepancy.cpp (original)
+++ sandbox/SOC/2010/quasi_random/libs/random/test/discrepancy.cpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -3,14 +3,14 @@
// Boost Software License, Version 1.0. (See accompanying
// file LICENSE-1.0 or http://www.boost.org/LICENSE-1.0)
-#include "qrng_typedefs.hpp"
+#include "d_star.hpp"
+#include "identity_distribution.hpp"
-#include <boost/random/mersenne_twister.hpp>
-
-#include <boost/random/uniform_real.hpp>
+#include <boost/random/niederreiter_base2.hpp>
+#include <boost/random/sobol.hpp>
+#include <boost/random/faure.hpp>
-#include <boost/pool/pool.hpp>
-#include <boost/shared_array.hpp>
+#include <boost/random/mersenne_twister.hpp>
#define BOOST_TEST_MAIN
#include <boost/test/unit_test.hpp>
@@ -21,18 +21,7 @@
// DESCRIPTION:
// ~~~~~~~~~~~~
//
-// The time required to compute the star discrepancy of a sequence of points
-// in a multidimensional unit cube is prohibitive and the best known upper
-// bounds for the star discrepancy of (t,s)-sequences and (t,m,s)-nets are
-// useful only for sample sizes that grow exponentially with the dimension s.
-//
-// Here we implement an algorithm to compute upper bounds for the star discrepancy of an
-// arbitrary set of n points in the s-dimensional unit cube as proposed in
-// Eric Thiemard's paper: "Computing bounds for the star discrepancy", Computing 65 (2000) 2, 169-186.
-// For an integer k > 1, this algorithm computes in O(ns log k+2^sk^s) time
-// and O(k^s) space a bound that is no better than a function depending on s and k.
-//
-// There are 2 tests:
+// There are 3 tests:
// 1) test_halton_discrepancy
// This tests the discrepancy test itself. We give a sequence of points (Halton sequence)
// for which the discrepancy bounds are known and then check whether the computed values
@@ -44,623 +33,13 @@
// is a pseudo-random number generator and the sequence that it produces does not have the
// property of low discrepancy, thus any quasi-random number generator must have
// lower discrepancy bounds.
-
-
-// A basic tree node -- POD
-struct tree_node
-{
- int id;
- tree_node* node;
-};
-
-struct tree_handle
-{
- template<typename Pool>
- explicit tree_handle(Pool& p, int sz)
- : lower_bound(1)
- {
- // allocate 1 bookkeeping node + sz data nodes
- children = (tree_node*) p.ordered_malloc(1 + sz);
- if( children == 0 ) throw std::bad_alloc();
-
- // zero memory
- tree_node zero = { 0, 0 };
- std::fill(children, children + 1 + sz, zero);
-
- children[0].id = sz;
- }
-
- int& operator[](int n) { return data()[n].id; }
- int operator[](int n) const { return data()[n].id; }
-
- int low() const { return lower_bound - 1; }
- int high() const { return children_count() - 1; }
- int children_count() const { return children[0].id; }
- void low_bound(int sz) { lower_bound = sz; }
-
- tree_handle subtree(int n) const
- {
- return tree_handle(data()[n].node);
- }
-
- template<typename Pool, typename Range, typename Comparator>
- tree_handle get_subtree(Pool& p, Range range, Comparator comp)
- {
- if( !has_subtree(range.second) )
- {
- int n_elem = range.second - range.first + 1;
-
- tree_handle tree(p, n_elem);
- for(int i = 0; i < n_elem; ++i)
- tree[i] = (*this)[range.first + i]; // copy relevant data
-
- if( 1 < n_elem )
- sort_tree(tree, comp);
-
- attach_subtree(range.second, tree);
-
- return tree;
- }
- else
- {
- return subtree(range.second);
- }
- }
-
-private:
- explicit tree_handle(tree_node* ptr)
- : lower_bound(1)
- , children(ptr)
- {}
-
- tree_node* data() const {
- return children + 1; // !!!
- }
-
- bool has_subtree(int n) const
- {
- return data()[n].node != 0;
- }
-
- void attach_subtree(int n, const tree_handle& sub)
- {
- data()[n].node = sub.children;
- }
-
- // Never throws
- template<typename Comparator>
- inline friend void sort_tree(tree_handle& tree, Comparator comp) {
- std::sort(tree.data(), tree.data() + tree.children_count(), comp);
- }
-
-private:
- int lower_bound;
- tree_node* children;
-};
-
-
-// An s-dimensional table of values that are stored consecutively in the
-// memory area pointed by the given pointer.
-// The table is strictly read-only.
-template<typename T>
-struct value_table
-{
- value_table(const T* values, std::size_t width)
- : tbl(values), dim(width) {}
- std::size_t width() const { return dim; }
- T operator()(std::size_t i, std::size_t j) const {
- return tbl[i * dim + j];
- }
-private:
- const T* tbl;
- std::size_t dim;
-};
-
-
-// Sorting predicate
-template<typename T>
-struct branch_comparator_func
-{
- explicit branch_comparator_func(value_table<T> pt, std::size_t ofs)
- : table(pt), n_elem(ofs) {}
- bool operator()(const tree_node& lhs, const tree_node& rhs) const {
- return table(lhs.id, n_elem) < table(rhs.id, n_elem);
- }
-private:
- value_table<T> table;
- std::size_t n_elem;
-};
-
-template<typename T>
-inline branch_comparator_func<T> branch_compare(value_table<T> pt, std::size_t ofs = 0) {
- return branch_comparator_func<T>(pt, ofs);
-}
-
-
-// Functors that more or less do forwarding back to the LexTree.
-// Mostly used to customize the behaviour of binary search.
-// (Simpler than member function binding.)
-struct do_nothing
-{
- template<typename Range>
- void operator()(Range) const
- { /* do nothing at all */ }
-};
-
-struct cutoff_tree
-{
- tree_handle* nd;
- cutoff_tree(tree_handle& n) : nd(&n) {}
- template<typename Range>
- void operator()(Range range)
- {
- nd->low_bound(range.first + 1);
- }
-};
-
-struct count_ranges
-{
- template<typename LexTree, typename Range, typename BoundVector>
- int operator()(LexTree&, tree_handle&, Range range, BoundVector) const
- { return range.second - range.first + 1; }
-};
-
-struct explode_tree
-{
- template<typename LexTree, typename Range, typename BoundVector>
- std::size_t operator()(LexTree& lex, tree_handle& nd, Range range, BoundVector rv) const
- {
- tree_handle b = subtree(lex, nd, range, rv);
- lex.insert(b, rv.range());
- return lex.explore(b, rv);
- }
-};
-
-struct explore_implicit_tree
-{
- template<typename LexTree, typename Range, typename BoundVector>
- std::size_t operator()(LexTree& lex, tree_handle& nd, Range range, BoundVector rv) const
- {
- tree_handle b = subtree(lex, nd, range, rv);
- return lex.explore(b, rv);
- }
-};
-
-template<typename T>
-class range_tree : private boost::noncopyable
-{
-private:
- typedef std::vector<T> vector_t;
-
- struct vector_range_pair
- {
- vector_range_pair deepen() const
- { return vector_range_pair(p_ptr, m_range + 1); }
- std::size_t range() const { return m_range; }
- T value() const { return (*p_ptr)[m_range]; }
- std::size_t next_range() { return ++m_range; }
- vector_range_pair(const vector_t& p,const std::size_t ofs)
- : m_range(ofs), p_ptr(&p)
- {}
- private:
- vector_range_pair(const vector_t* p, const std::size_t ofs)
- : m_range(ofs), p_ptr(p)
- {}
- std::size_t m_range;
- const vector_t* p_ptr;
- };
-
-public:
- range_tree(value_table<T> values, const tree_handle& root, boost::pool<>& p)
- : table(values)
- , subtotal(0)
- , lex(values.width())
- , pool_(p)
- {
- insert(root, 0);
- }
-
- std::size_t explore(const vector_t& p, const std::size_t ofs)
- {
- BOOST_ASSERT( table.width() == p.size() );
-
- vector_range_pair rv(p, ofs);
-
- int total = 0;
- std::size_t sz = lex[ofs].size();
- if( ofs + 1 == table.width() )
- {
- while( sz-- != 0 )
- {
- tree_handle tree = lex[ofs][sz];
- int low = tree.low();
- int high = tree.high();
- if( high < low )
- {
- lex[ofs][sz] = lex[ofs].back();
- lex[ofs].pop_back();
- subtotal += low;
- }
- else
- {
- total += low;
- total += bin_explore(tree, std::make_pair(low, high), rv, count_ranges(),
- cutoff_tree(lex[ofs][sz]));
- }
- }
- total += subtotal;
- }
- else
- {
- subtotal = 0;
- lex[ofs + 1].clear();
- for(std::size_t i = 0; i != sz; ++i)
- {
- tree_handle tree = lex[ofs][i];
- int start = tree.low();
- int low = 0;
- int high = tree.high();
- while( low != start )
- {
- int next = ((1 + low) + high) / 2;
- tree_handle branch = tree.subtree(next);
- insert(branch, ofs + 1);
- total += explore(branch, rv.deepen());
- low = next + 1;
- }
- total += bin_explore(tree, std::make_pair(low, high), rv, explode_tree(),
- cutoff_tree(lex[ofs][i]));
- }
- }
- return total;
- }
-
-private:
- friend struct explode_tree;
- friend struct explore_implicit_tree;
-
- template<typename Range, typename BoundVector>
- inline friend tree_handle subtree(range_tree<T>& lex, tree_handle& nd, Range range, BoundVector rv) {
- // adds a new (or gets the existing) subtree, sorted at the specified level
- return nd.get_subtree(lex.pool_, range, branch_compare(lex.table, rv.range()));
- }
-
- void insert(const tree_handle& nd, std::size_t ofs)
- {
- lex[ofs].push_back(nd);
- }
-
- template<typename BoundVector>
- bool in_range(const tree_handle& nd, std::size_t i, BoundVector rv) const
- {
- return table(nd[i], rv.range()) < rv.value();
- }
-
- template<typename Range, typename BoundVector, typename Explore, typename Right>
- std::size_t bin_explore(tree_handle& nd, Range range,
- BoundVector rv, Explore explore, Right on_right)
- {
- bool right = true;
- std::size_t total = 0;
- while( range.first <= range.second )
- {
- int next = ((1 + range.first) + range.second) / 2;
- if( in_range(nd, next, rv) )
- {
- total += explore(*this, nd, std::make_pair(range.first, next), rv.deepen());
- range.first = next + 1;
- if( right ) {
- on_right(range);
- }
- }
- else
- {
- right = false;
- range.second = next - 1;
- }
- }
- return total;
- }
-
- template<typename BoundVector, typename Explore>
- std::size_t bin_explore(tree_handle& nd, BoundVector rv, Explore explore)
- {
- return bin_explore(nd, std::make_pair(0, nd.high()), rv, explore, do_nothing());
- }
-
- template<typename BoundVector>
- std::size_t explore(tree_handle& nd, BoundVector rv)
- {
- // how many children do we have?
- const int sz = nd.children_count();
-
- // quick case
- if( !in_range(nd, 0, rv) )
- return 0;
-
- // a single element case
- if( sz == 1 )
- {
- while( rv.next_range() != table.width() )
- if( !in_range(nd, 0, rv) )
- return 0;
- return 1;
- }
-
- // the last column to be explored
- if( rv.range() + 1 == table.width() )
- {
- // another quick case
- return in_range(nd, sz - 1, rv) ? sz:
- bin_explore(nd, rv, count_ranges());
- }
-
- return bin_explore(nd, rv, explore_implicit_tree());
- }
-
-private:
- typedef std::vector<tree_handle> tree_t;
- typedef std::vector<tree_t> forest_t;
-
- value_table<T> table; // table of values
- int subtotal; // cached
- forest_t lex;
-
- boost::pool<>& pool_;
-};
-
-
-// D-star state, uses range trees for counting
-template<typename T>
-class star_discrepancy
-{
-private:
- struct range_tree_pair
- {
- range_tree<T> alpha, beta;
- template<typename Pool>
- range_tree_pair(value_table<T> values, const tree_handle& root, Pool& p)
- : alpha(values, root, p)
- , beta(values, root, p)
- {}
- };
-
-public:
- typedef std::vector<T> vector_t; // type shortcuts
- typedef std::pair<T, T> bounds_t;
-
- // Initialize point table
- template<typename QRNG, typename Uniform>
- star_discrepancy(QRNG& q, Uniform& d, std::size_t dimension, std::size_t n, T eps)
- : dim(dimension) // for non-QRNGs q.dimension() is malformed
- , n_elem(n)
- , epsilon(eps)
- , points(new T[dim * n_elem])
- {
- // All points must be bounded by the unit hypercube.
- for(std::size_t i = 0; i != dim * n_elem; ++i)
- {
- T value = d(q);
- BOOST_REQUIRE_GE(value, T(0));
- BOOST_REQUIRE_LE(value, T(1));
-
- // store the value; it will be used later
- points[i] = value;
- }
- }
-
- // Initialize point table
- template<std::size_t Dimension, std::size_t N>
- star_discrepancy(T (&pt)[N][Dimension], T eps)
- : dim(Dimension)
- , n_elem(N)
- , epsilon(eps)
- , points(new T[dim * n_elem])
- {
- // All points must be bounded by the unit hypercube.
- for(std::size_t i = 0; i != n_elem; ++i)
- {
- for(std::size_t j = 0; j != dim; ++j)
- {
- T value = pt[i][j];
- BOOST_REQUIRE_GE(value, T(0));
- BOOST_REQUIRE_LE(value, T(1));
-
- // store the value; it will be used later
- points[i * dim + j] = value;
- }
- }
- }
-
- // Computes lower and upper discrepancy bounds
- bounds_t compute() const
- {
- bounds_t bounds = std::make_pair(T(), T());
-
- boost::pool<> p(sizeof(tree_node));
- tree_handle root = create_root(p);
- range_tree_pair tree(get_table(), root, p);
-
- // Now we carry out sequence decomposition into subintervals
- vector_t alpha(dim, T(0)), beta(dim, T(1));
- decompose(alpha, beta, tree, 0, T(1), bounds);
-
- return bounds;
- }
-
-private:
-
- T volume_diff(T volume, std::size_t n) const
- {
- return volume - static_cast<T>(n) / static_cast<T>(n_elem);
- }
-
- T abs_volume(T volume, std::size_t n) const
- {
- return std::abs( volume_diff(volume, n) );
- }
-
- static void upper_bound(T volume, bounds_t& bounds)
- {
- if( bounds.second < volume )
- {
- bounds.second = volume;
- }
- }
-
- T compute_delta(const vector_t& alpha, const vector_t& beta, std::size_t start) const
- {
- T pbetamin = T(1);
- for(std::size_t i = start; i != dim; ++i)
- pbetamin *= beta[i];
- T pbeta = pbetamin;
-
- T palpha = T(1);
- for(std::size_t i = 0; i != start; ++i) {
- pbetamin *= beta[i];
- palpha *= alpha[i];
- }
-
- pbetamin -= epsilon;
- return std::pow( pbetamin / ( pbeta * palpha ), T(1) / T(dim - start) );
- }
-
- template<typename Predicate>
- T volume_bound(const vector_t& p, Predicate pred, const T init) const
- {
- BOOST_ASSERT( p.size() == dim );
-
- T volume = T(1);
- for(std::size_t j = 0; j != dim; ++j)
- {
- T u = init;
- for(std::size_t i = 0; i != n_elem; ++i)
- {
- T pt = points[i*dim + j];
- if( pred(u, pt) && !pred(p[j], pt) )
- u = pt;
- }
- volume *= u;
- }
- return volume;
- }
-
- void lower_bound(T volume, std::size_t npoints, const vector_t& p, bounds_t& b) const
- {
- if( b.first < abs_volume(volume, npoints) )
- {
- if( volume_diff(volume, npoints) < T() )
- volume = volume_bound(p, std::less<T>(), T());
- else
- volume = volume_bound(p, std::greater<T>(), T(1));
- // recompute lower bound approximation
- b.first = abs_volume(volume, npoints);
- }
- }
-
- void evaluate(const vector_t& alpha, const vector_t& beta, range_tree_pair& tree,
- std::size_t start,
- bounds_t& b) const
- {
- T va = T(1); // volume alpha
- T vb = T(1); // volume beta
- for(std::size_t i = 0; i != dim; ++i) {
- va *= alpha[i];
- vb *= beta[i];
- }
-
- // Here we evaluate uppper bound
- std::size_t nalpha = tree.alpha.explore(alpha, start);
- std::size_t nbeta = tree.beta.explore(beta, start);
- upper_bound(-volume_diff(va, nbeta), b);
- upper_bound(volume_diff(vb, nalpha), b);
-
- // ...and here we evaluate lower bound
- lower_bound(va, nalpha, alpha, b);
- lower_bound(vb, nbeta, beta, b);
- }
-
- // In the original Eric Thiemard's paper
- // "Computing bounds for the star discrepancy", Computing 65 (2000) 2, 169-186.
- // the decomposition function requires O(k^s) space. Here we implement an optimized
- // version of the function that requires O(k * (k-1) * (k-2) * .. * (k-s-1)) space.
- void decompose(vector_t& alpha, vector_t& beta, range_tree_pair& tree,
- std::size_t start, // starting element
- T threshold, // decomposition threshold
- bounds_t& b) const
- {
- T delta = compute_delta(alpha, beta, start);
-
- // Here we preserve only those alpha values that are going to be changed.
- // This is more efficient memory-wise than doing a full copy of alpha;
- // the deeper we go the less elements we will have to preserve.
- const vector_t oalpha(alpha.begin() + start, alpha.end());
-
- T obeta = beta[start];
- beta[start] *= delta;
-
- threshold *= delta;
- if( epsilon < threshold )
- {
- decompose(alpha, beta, tree, start, threshold, b);
- for(std::size_t i = start + 1; i < dim; ++i)
- {
- alpha[i-1] = obeta * delta;
- beta[i-1] = obeta;
- obeta = beta[i];
- beta[i] *= delta;
- decompose(alpha, beta, tree, i, threshold, b);
- }
- }
- else
- {
- std::size_t k = (start == 0) ? 0: start - 1;
- evaluate(alpha, beta, tree, k++, b);
- for(std::size_t i = start + 1; i < dim; ++i)
- {
- // evaluate member function is not modifying,
- // so we can save one multiplication here
- alpha[i-1] = beta[i-1];
- beta[i-1] = obeta;
- obeta = beta[i];
- beta[i] *= delta;
- evaluate(alpha, beta, tree, k++, b);
- }
- }
-
- alpha[dim-1] = obeta * delta;
- beta[dim-1] = obeta; // restore the last changed beta value
- evaluate(alpha, beta, tree, dim - 1, b);
-
- // Restore alpha values
- std::copy(oalpha.begin(), oalpha.end(), alpha.begin() + start);
- }
-
- template<typename Pool>
- tree_handle create_root(Pool& p) const
- {
- tree_handle tree(p, n_elem);
-
- for(std::size_t i = 0; i != n_elem; ++i)
- tree[i] = i;
-
- sort_tree(tree, branch_compare(get_table()));
-
- return tree;
- }
-
- // The lifetime of the returned table must not exceed the lifetime of d_star object
- value_table<T> get_table() const
- {
- return value_table<T>(points.get(), dim);
- }
-
-private:
- const std::size_t dim;
- const std::size_t n_elem;
- const T epsilon;
- boost::shared_array<T> points;
-};
+//
+// 3) test_niederreiter_base_2_discrepancy
+// The Niederreiter base 2 discrepancy satisfies D_n^*(x) = O( (log n)^s∕n ).
+// For large dimension s, the theoretical bound (log n)^s∕n may only be meaningful
+// for extremely large values of n.
+// We check that the discrepancy measurer indeed returns indicated values for
+// sufficienty large n of Niederreiter base 2 discrepancy sequence elements.
@@ -683,15 +62,14 @@
{ 0.5625, 0.037037 }
};
- star_discrepancy<double> discr(halton_seq, 0.01);
- std::pair<double, double> bounds = discr.compute();
+ std::pair<double, double> bounds = d_star(halton_seq, 0.01);
BOOST_REQUIRE_CLOSE_FRACTION(bounds.first, 0.2666670000, 0.0001);
BOOST_REQUIRE_CLOSE_FRACTION(bounds.second, 0.2724280122, 0.0001);
}
-template<typename QRNG, typename DStar, typename Distribution, typename Bounds>
+template<typename QRNG, typename Distribution, typename Bounds>
inline void check_discrepancy(const char* name,
Distribution d,
std::size_t n_vectors, typename Distribution::result_type eps,
@@ -701,43 +79,40 @@
BOOST_TEST_MESSAGE( "Testing " << name << "[" << q.dimension() << "]" );
- DStar ds(q, d, q.dimension(), n_vectors, eps);
- Bounds qrng_discrepancy = ds.compute();
+ Bounds qrng_discrepancy = d_star(q, d, n_vectors, eps);
BOOST_CHECK( qrng_discrepancy < mersenne_twister_discrepancy );
}
-template<int D>
+template<std::size_t D>
inline void compare_qrng_discrepancy(std::size_t n_vectors, double eps)
{
- // Default parameterization of D-dimensional qrng generator templates
- typedef typename niederreiter_base2_generator<D>::type niederreiter_base2_t;
- typedef typename sobol_generator<D>::type sobol_t;
- typedef typename faure_generator<D>::type faure_t;
-
// We test with double precision
typedef double value_t;
- typedef star_discrepancy<value_t> measurer_t;
- typedef typename measurer_t::bounds_t bounds_t;
- boost::uniform_real<value_t> u;
+ // Default parameterization of D-dimensional qrng generator templates
+ typedef typename boost::niederreiter_base2_generator<D>::type niederreiter_base2_t;
+ typedef typename boost::sobol_generator<D>::type sobol_t;
+ typedef typename boost::faure_generator<D, value_t>::type faure_t;
+
+ typedef std::pair<value_t, value_t> bounds_t;
BOOST_REQUIRE( n_vectors > 0 );
BOOST_REQUIRE( eps > 0 && eps < 1 );
BOOST_TEST_MESSAGE( "Starting tests in dimension " << D << " with sample size " << n_vectors << ", epsilon=" << eps );
+ boost::uniform_real<value_t> u;
+
// Compute the discrepancy of the Mersenne twister pseudo-random number generator
- bounds_t mt_discr_bounds;
+ bounds_t mt_discrepancy;
{
boost::mt19937 mt;
BOOST_TEST_MESSAGE( "Computing discrepancy bounds for mt19937[" << D << "]" );
-
- measurer_t discr(mt, u, D, n_vectors, eps);
- mt_discr_bounds = discr.compute();
+ mt_discrepancy = d_star(mt, u, D, n_vectors, eps);
}
#define UNIT_TEST_CHECK_QRNG_DISCREPANCY(N, U) \
- check_discrepancy<N, measurer_t>(#N, U, n_vectors, eps, mt_discr_bounds); \
+ check_discrepancy<N>(#N, U, n_vectors, eps, mt_discrepancy); \
/**/
// Compare the discrepancy of quasi-random number generators against the Mersenne twister discrepancy
@@ -781,11 +156,11 @@
}
-template<int D>
+template<std::size_t D>
inline void check_niederreiter_base_2_discrepancy(std::size_t n_vectors, double eps)
{
// Default parameterization of D-dimensional qrng generator templates
- typedef typename niederreiter_base2_generator<D>::type niederreiter_base2_t;
+ typedef typename boost::niederreiter_base2_generator<D>::type niederreiter_base2_t;
BOOST_REQUIRE( n_vectors > 0 );
BOOST_REQUIRE( eps > 0 && eps < 1 );
@@ -795,9 +170,7 @@
BOOST_TEST_MESSAGE( "Expected discrepancy O( (log n)^s∕n ) = " << expected_discrepancy );
niederreiter_base2_t q;
- boost::uniform_real<double> u;
- star_discrepancy<double> ds(q, u, q.dimension(), n_vectors, eps);
- std::pair<double, double> bounds = ds.compute();
+ std::pair<double, double> bounds = d_star(q, n_vectors, eps);
BOOST_CHECK( bounds.first <= expected_discrepancy );
BOOST_CHECK( expected_discrepancy <= bounds.second );
@@ -815,4 +188,3 @@
check_niederreiter_base_2_discrepancy<2>(10000, 0.01);
check_niederreiter_base_2_discrepancy<3>(200000, 0.01);
}
-
Modified: sandbox/SOC/2010/quasi_random/libs/random/test/gsl_validate.cpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/libs/random/test/gsl_validate.cpp (original)
+++ sandbox/SOC/2010/quasi_random/libs/random/test/gsl_validate.cpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -3,10 +3,13 @@
// Boost Software License, Version 1.0. (See accompanying
// file LICENSE-1.0 or http://www.boost.org/LICENSE-1.0)
-#include "qrng_typedefs.hpp"
+#include "identity_distribution.hpp"
-#include <gsl/gsl_qrng.h>
+#include <boost/random/niederreiter_base2.hpp>
+#include <boost/random/sobol.hpp>
+#include <boost/random/faure.hpp>
+#include <gsl/gsl_qrng.h>
#include <boost/random/uniform_real.hpp>
@@ -89,14 +92,14 @@
template<int D>
void test_sobol()
{
- typedef typename sobol_generator<D>::type sobol_t;
+ typedef typename boost::sobol_generator<D>::type sobol_t;
BOOST_CHECK( (test_qrng<gsl_sobol, sobol_t>(D)) );
}
template<int D>
void test_niederreiter_base2()
{
- typedef typename niederreiter_base2_generator<D>::type nb2_t;
+ typedef typename boost::niederreiter_base2_generator<D>::type nb2_t;
BOOST_CHECK( (test_qrng<gsl_niederreiter_base2, nb2_t>(D)) );
}
@@ -119,4 +122,3 @@
#undef UNIT_TEST_QRNG_VALIDATE_NIEDERREITER_BASE2
}
-
Added: sandbox/SOC/2010/quasi_random/libs/random/test/identity_distribution.hpp
==============================================================================
--- (empty file)
+++ sandbox/SOC/2010/quasi_random/libs/random/test/identity_distribution.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
@@ -0,0 +1,19 @@
+// Copyright Justinas Vygintas Daugmaudis, 2010.
+// Use, modification and distribution is subject to the
+// Boost Software License, Version 1.0. (See accompanying
+// file LICENSE-1.0 or http://www.boost.org/LICENSE-1.0)
+
+#ifndef IDENTITY_DISTRIBUTION_HPP_INCLUDED
+#define IDENTITY_DISTRIBUTION_HPP_INCLUDED
+
+// To be used when no transformation of a sequence is required
+template<typename T = double>
+struct identity_distribution
+{
+ typedef T result_type;
+ template<typename Generator>
+ result_type operator()(Generator& gen) const
+ { return gen(); }
+};
+
+#endif // IDENTITY_DISTRIBUTION_HPP_INCLUDED
Deleted: sandbox/SOC/2010/quasi_random/libs/random/test/qrng_typedefs.hpp
==============================================================================
--- sandbox/SOC/2010/quasi_random/libs/random/test/qrng_typedefs.hpp 2010-07-21 13:04:38 EDT (Wed, 21 Jul 2010)
+++ (empty file)
@@ -1,45 +0,0 @@
-// Copyright Justinas Vygintas Daugmaudis, 2010.
-// Use, modification and distribution is subject to the
-// Boost Software License, Version 1.0. (See accompanying
-// file LICENSE-1.0 or http://www.boost.org/LICENSE-1.0)
-
-#ifndef HEADER_QRNG_TYPEDEFS_HPP_INCLUDED
-#define HEADER_QRNG_TYPEDEFS_HPP_INCLUDED
-
-#include <boost/random/niederreiter_base2.hpp>
-#include <boost/random/sobol.hpp>
-#include <boost/random/faure.hpp>
-
-
-// Boost.Random adaptors
-
-template<int D>
-struct niederreiter_base2_generator
-{
- typedef boost::random::niederreiter_base2<boost::uint32_t, D, 1, 2*((boost::uint32_t)1 << 31)> type;
-};
-
-template<int D>
-struct sobol_generator
-{
- typedef boost::random::sobol<boost::uint32_t, D, 1, (boost::uint32_t)1 << 31> type;
-};
-
-template<int D>
-struct faure_generator
-{
- typedef boost::random::faure<double, D> type;
-};
-
-
-// To be used in place of uniform_real, where scaling is not necessary
-template<typename T>
-struct identity_distribution
-{
- typedef T result_type;
- template<typename QRNG>
- result_type operator()(QRNG& q) const
- { return q(); }
-};
-
-#endif // HEADER_QRNG_TYPEDEFS_HPP_INCLUDED
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