Commit a72ecaf6 authored by Liam M. Healy's avatar Liam M. Healy
Browse files

Monte Carlo sampling added

parent 757cf520
;; Sample sets of values from a low-discrepancy (quasi-random) sequence
;; Liam Healy 2011-06-06 09:42:22EDT low-discrepancy-sequence.lisp
;; Time-stamp: <2011-07-29 14:35:19EDT low-discrepancy-sequence.lisp>
;; Time-stamp: <2013-09-25 12:26:46EDT low-discrepancy-sequence.lisp>
;; Copyright 2011 Liam M. Healy
;; Distributed under the terms of the GNU General Public License
;;
;; 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 3 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, see <http://www.gnu.org/licenses/>.
(in-package :antik)
......
;; Monte Carlo techniques
;; Liam Healy 2013-09-25 12:29:24EDT monte-carlo.lisp
;; Time-stamp: <2013-09-25 12:37:57EDT monte-carlo.lisp>
;; Copyright 2013 Liam M. Healy
;; Distributed under the terms of the GNU General Public License
;;
;; 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 3 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, see <http://www.gnu.org/licenses/>.
(in-package :antik)
(export 'sample-acceptance-rejection)
(defun sample-acceptance-rejection (pdf number-of-samples lower-bound upper-bound maximum-density rng)
"Sample from the univariate PDF using the acceptance-rejection method. Supremum distribution is interval-flat over domain, with value max. Returns the list of samples and the total number of candidates."
;; See 1990 Flury, SLAC slides id:e48523a5-a0d5-4aa2-899b-14f8bd86bb32
(iter (with number-found = 0)
(for count from 0)
(let* ((y (gsl:sample rng :flat :a lower-bound :b upper-bound)) ; sample from constant supremum distribution "g(x)"
(u (gsl:sample rng :flat :a 0.0 :b maximum-density))
(pdf-val (funcall pdf y)))
(when (<= u pdf-val)
(incf number-found)
(collect y into samples))
(until (>= number-found number-of-samples))
(finally (return (values samples count))))))
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