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std::rand: substitute an unbiased Exp1 temporarily. #10099

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std::rand: substitute an unbiased Exp1 temporarily. #10099

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31 changes: 23 additions & 8 deletions src/libstd/rand/distributions.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -341,20 +341,30 @@ impl IndependentSample<f64> for Normal {
// has to be unwrapped before use as an `f64` (using either
/// `*` or `cast::transmute` is safe).
///
/// Implemented via the ZIGNOR variant[1] of the Ziggurat method. The
/// exact description in the paper was adjusted to use tables for the
/// exponential distribution rather than normal.
///
/// [1]: Jurgen A. Doornik (2005). [*An Improved Ziggurat Method to
/// Generate Normal Random
/// Samples*](http://www.doornik.com/research/ziggurat.pdf). Nuffield
/// College, Oxford
/// Implemented via the inverse cdf transform, that is, `-ln(U)` where
/// `U` is uniformly distributed 0 to 1.

// FIXME #10084: The Ziggurat implementation is biased (mean of 0.994
// rather than 1). This inverse cdf transform with logs is 4 times
// slower than the (incorrect) Ziggurat implementation. (Note: the
// Normal Ziggurat code appears to be unbiased.)
//
// Old docs:
// Implemented via the ZIGNOR variant[1] of the
// Ziggurat method. The exact description in the paper was adjusted to
// use tables for the exponential distribution rather than normal.
//
// [1]: Jurgen A. Doornik (2005). [*An Improved Ziggurat Method to
// Generate Normal Random
// Samples*](http://www.doornik.com/research/ziggurat.pdf). Nuffield
// College, Oxford
pub struct Exp1(f64);

// This could be done via `-rng.gen::<f64>().ln()` but that is slower.
impl Rand for Exp1 {
#[inline]
fn rand<R:Rng>(rng: &mut R) -> Exp1 {
/* FIXME #10084: see above.
#[inline]
fn pdf(x: f64) -> f64 {
(-x).exp()
Expand All @@ -368,6 +378,11 @@ impl Rand for Exp1 {
&ziggurat_tables::ZIG_EXP_X,
&ziggurat_tables::ZIG_EXP_F, &ziggurat_tables::ZIG_EXP_F_DIFF,
pdf, zero_case))
*/

// we use 1 - U, because U is [0, 1), and log(0) is bad, so we
// convert it into (0, 1]
Exp1(-(1.0 - rng.gen::<f64>()).ln())
}
}

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