Logo Search packages:      
Sourcecode: octave-matcompat version File versions

MersenneTwister.h

// MersenneTwister.h
// Mersenne Twister random number generator -- a C++ class MTRand
// Based on code by Makoto Matsumoto, Takuji Nishimura, and Shawn Cokus
// Richard J. Wagner  v0.6  14 February 2001  rjwagner@writeme.com

// The Mersenne Twister is an algorithm for generating random numbers.  It
// was designed with consideration of the flaws in various other generators.
// The period, 2^19937-1, and the order of equidistribution, 623 dimensions,
// are far greater.  The generator is also fast; it avoids multiplication and
// division, and it benefits from caches and pipelines.  For more information
// see the inventors' web page at http://www.math.keio.ac.jp/~matumoto/emt.html

// Reference
// M. Matsumoto and T. Nishimura, "Mersenne Twister: A 623-Dimensionally
// Equidistributed Uniform Pseudo-Random Number Generator", ACM Transactions on
// Modeling and Computer Simulation, Vol. 8, No. 1, January 1998, pp 3-30.

// Copyright (C) 2001  Richard J. Wagner
// 
// This library is free software; you can redistribute it and/or
// modify it under the terms of the GNU Lesser General Public
// License as published by the Free Software Foundation; either
// version 2.1 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
// Lesser General Public License for more details.
// 
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA

// The original code included the following notice:
//
//     Copyright (C) 1997, 1999 Makoto Matsumoto and Takuji Nishimura.
//     When you use this, send an email to: matumoto@math.keio.ac.jp
//     with an appropriate reference to your work.
//
// It would be nice to CC: rjwagner@writeme.com and Cokus@math.washington.edu
// when you write.

#ifndef MERSENNETWISTER_H
#define MERSENNETWISTER_H

// Not thread safe (unless auto-initialization is avoided and each thread has
// its own MTRand object)

#include <stdio.h>
#include <time.h>
#include <limits.h>
#include <iostream.h>

class MTRand {
// Data
public:
      typedef unsigned long uint32;  // unsigned integer type, at least 32 bits
      
      enum { N = 624 };              // length of state vector
      enum { SAVE = N + 1 };         // length of array for save()

protected:
      enum { M = 397 };              // period parameter
      enum { MAGIC = 0x9908b0dfU };  // magic constant
      
      uint32 state[N];  // internal state
      uint32 *pNext;    // next value to get from state
      int left;         // number of values left before reload needed


//Methods
public:
      MTRand( const uint32& oneSeed );  // initialize with a simple uint32
      MTRand( uint32 *const bigSeed );  // initialize with an array of N uint32's
      MTRand();  // auto-initialize with /dev/urandom or time() and clock()
      
      // Access to 32-bit random numbers
      // Do NOT use for CRYPTOGRAPHY without securely hashing several returned
      // values together, otherwise the generator state can be learned after
      // reading 624 consecutive values.
      double rand();                      // real number in [0,1]
      double rand( const double& n );     // real number in [0,n]
      double randExc();                   // real number in [0,1)
      double randExc( const double& n );  // real number in [0,n)
      uint32 randInt();                       // integer in [0,2^32-1]
      uint32 randInt( const uint32& n );      // integer in [0,n] for n < 2^32
      double operator()() { return rand(); }  // same as rand()
      
      // Re-seeding functions with same behavior as initializers
      void seed( uint32 oneSeed );
      void seed( uint32 *const bigSeed );
      void seed();
      
      // Saving and loading generator state
      void save( uint32* saveArray ) const;  // to array of size SAVE
      void load( uint32 *const loadArray );  // from such array
      friend ostream& operator<<( ostream& os, const MTRand& mtrand );
      friend istream& operator>>( istream& is, MTRand& mtrand );

protected:
      void reload();
      uint32 hiBit( const uint32& u ) const { return u & 0x80000000U; }
      uint32 loBit( const uint32& u ) const { return u & 0x00000001U; }
      uint32 loBits( const uint32& u ) const { return u & 0x7fffffffU; }
      uint32 mixBits( const uint32& u, const uint32& v ) const
            { return hiBit(u) | loBits(v); }
      uint32 twist( const uint32& m, const uint32& s0, const uint32& s1 ) const
            { return m ^ (mixBits(s0,s1)>>1) ^ (loBit(s1) ? MAGIC : 0U); }
      static uint32 hash( time_t t, clock_t c );
};


inline MTRand::MTRand( const uint32& oneSeed )
      { seed(oneSeed); }

inline MTRand::MTRand( uint32 *const bigSeed )
      { seed(bigSeed); }

inline MTRand::MTRand()
      { seed(); }

inline double MTRand::rand()
    { return double(randInt()) * 2.3283064370807974e-10; }

inline double MTRand::rand( const double& n )
      { return rand() * n; }

inline double MTRand::randExc()
      { return double(randInt()) * 2.3283064365386963e-10; }

inline double MTRand::randExc( const double& n )
      { return randExc() * n; }

inline MTRand::uint32 MTRand::randInt()
{
      if( left == 0 ) reload();
      --left;
            
      register uint32 s1;
      s1 = *pNext++;
      s1 ^= (s1 >> 11);
      s1 ^= (s1 <<  7) & 0x9d2c5680U;
      s1 ^= (s1 << 15) & 0xefc60000U;
      return ( s1 ^ (s1 >> 18) );
}


inline MTRand::uint32 MTRand::randInt( const uint32& n )
{
      // Find which bits are used in n
      uint32 used = ~0;
      for( uint32 m = n; m; used <<= 1, m >>= 1 ) {}
      used = ~used;
      
      // Draw numbers until one is found in [0,n]
      uint32 i;
      do
            i = randInt() & used;  // toss unused bits to shorten search
      while( i > n );
      return i;
}


inline void MTRand::seed( uint32 oneSeed )
{
      // Seed the generator with a simple uint32
      register uint32 *s;
      register int i;
      for( i = N, s = state;
           i--;
             *s    = oneSeed & 0xffff0000,
             *s++ |= ( (oneSeed *= 69069U)++ & 0xffff0000 ) >> 16,
             (oneSeed *= 69069U)++ ) {}  // hard to read, but fast
      reload();
}


inline void MTRand::seed( uint32 *const bigSeed )
{
      // Seed the generator with an array of 624 uint32's
      // There are 2^19937-1 possible initial states.  This function allows
      // any one of those to be chosen by providing 19937 bits.  The lower
      // 31 bits of the first element, bigSeed[0], are discarded.  Any bits
      // above the lower 32 in each element are also discarded.  Theoretically,
      // the rest of the array can contain any values except all zeroes.
      // Just call seed() if you want to get array from /dev/urandom
      register uint32 *s = state, *b = bigSeed;
      register int i = N;
      for( ; i--; *s++ = *b++ & 0xffffffff ) {}
      reload();
}


inline void MTRand::seed()
{
      // Seed the generator with an array from /dev/urandom if available
      // Otherwise use a hash of time() and clock() values
      
      // First try getting an array from /dev/urandom
      FILE* urandom = fopen( "/dev/urandom", "rb" );
      if( urandom )
      {
            register uint32 *s = state;
            register int i = N;
            register bool success = true;
            while( success && i-- )
            {
                  success = fread( s, sizeof(uint32), 1, urandom );
                  *s++ &= 0xffffffff;  // filter in case uint32 > 32 bits
            }
            fclose(urandom);
            if( success )
            {
                  // There is a 1 in 2^19937 chance that a working urandom gave
                  // 19937 consecutive zeroes and will make the generator fail
                  // Ignore that case and continue with initialization
                  reload();
                  return;
            }
      }
      
      // Was not successful, so use time() and clock() instead
      seed( hash( time(NULL), clock() ) );
}


inline void MTRand::reload()
{
      // Generate N new values in state
      // Made clearer and faster by Matthew Bellew (matthew.bellew@home.com)
      register uint32 *p = state;
      register int i;
      for( i = N - M; i--; )
            *p++ = twist( p[M], p[0], p[1] );
      for( i = M; --i; )
            *p++ = twist( p[M-N], p[0], p[1] );
      *p = twist( p[M-N], p[0], state[0] );

      left = N, pNext = state;
}


inline MTRand::uint32 MTRand::hash( time_t t, clock_t c )
{
      // Get a uint32 from t and c
      // Better than uint32(x) in case x is floating point in [0,1]
      // Based on code by Lawrence Kirby (fred@genesis.demon.co.uk)

      static uint32 differ = 0;  // guarantee time-based seeds will change

      uint32 h1 = 0;
      unsigned char *p = (unsigned char *) &t;
      for( size_t i = 0; i < sizeof(t); ++i )
      {
            h1 *= UCHAR_MAX + 2U;
            h1 += p[i];
      }
      uint32 h2 = 0;
      p = (unsigned char *) &c;
      for( size_t j = 0; j < sizeof(c); ++j )
      {
            h2 *= UCHAR_MAX + 2U;
            h2 += p[j];
      }
      return ( h1 + differ++ ) ^ h2;
}


inline void MTRand::save( uint32* saveArray ) const
{
      register uint32 *sa = saveArray;
      register const uint32 *s = state;
      register int i = N;
      for( ; i--; *sa++ = *s++ ) {}
      *sa = left;
}


inline void MTRand::load( uint32 *const loadArray )
{
      register uint32 *s = state;
      register uint32 *la = loadArray;
      register int i = N;
      for( ; i--; *s++ = *la++ ) {}
      left = *la;
      pNext = &state[N-left];
}


inline ostream& operator<<( ostream& os, const MTRand& mtrand )
{
      register const MTRand::uint32 *s = mtrand.state;
      register int i = mtrand.N;
      for( ; i--; os << *s++ << "\t" ) {}
      return os << mtrand.left;
}


inline istream& operator>>( istream& is, MTRand& mtrand )
{
      register MTRand::uint32 *s = mtrand.state;
      register int i = mtrand.N;
      for( ; i--; is >> *s++ ) {}
      is >> mtrand.left;
      mtrand.pNext = &mtrand.state[mtrand.N-mtrand.left];
      return is;
}

#endif  //MERSENNETWISTER_H

// Change log:
//
// v0.1 - First release on 15 May 2000
//      - Based on code by Makoto Matsumoto, Takuji Nishimura, and Shawn Cokus
//      - Translated from C to C++
//      - Made completely ANSI compliant
//      - Designed convenient interface for initialization, seeding, and
//        obtaining numbers in default or user-defined ranges
//      - Added automatic seeding from /dev/urandom or time() and clock()
//      - Provided functions for saving and loading generator state
//
// v0.2 - Fixed bug which reloaded generator one step too late
//
// v0.3 - Switched to clearer, faster reload() code from Matthew Bellew
//
// v0.4 - Removed trailing newline in saved generator format to be consistent
//        with output format of built-in types
//
// v0.5 - Improved portability by replacing static const int's with enum's and
//        clarifying return values in seed(); suggested by Eric Heimburg
//      - Removed MAXINT constant; use 0xffffffff instead
//
// v0.6 - Eliminated seed overflow when uint32 is larger than 32 bits
//      - Changed integer [0,n] generator to give better uniformity

Generated by  Doxygen 1.6.0   Back to index