425 lines
14 KiB
C++
425 lines
14 KiB
C++
// MersenneTwister.h
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// Mersenne Twister random number generator -- a C++ class MTRand
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// Based on code by Makoto Matsumoto, Takuji Nishimura, and Shawn Cokus
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// Richard J. Wagner v1.0 15 May 2003 rjwagner@writeme.com
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// The Mersenne Twister is an algorithm for generating random numbers. It
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// was designed with consideration of the flaws in various other generators.
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// The period, 2^19937-1, and the order of equidistribution, 623 dimensions,
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// are far greater. The generator is also fast; it avoids multiplication and
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// division, and it benefits from caches and pipelines. For more information
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// see the inventors' web page at http://www.math.keio.ac.jp/~matumoto/emt.html
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// Reference
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// M. Matsumoto and T. Nishimura, "Mersenne Twister: A 623-Dimensionally
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// Equidistributed Uniform Pseudo-Random Number Generator", ACM Transactions on
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// Modeling and Computer Simulation, Vol. 8, No. 1, January 1998, pp 3-30.
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// Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura,
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// Copyright (C) 2000 - 2003, Richard J. Wagner
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// All rights reserved.
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//
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// Redistribution and use in source and binary forms, with or without
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// modification, are permitted provided that the following conditions
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// are met:
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//
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// 1. Redistributions of source code must retain the above copyright
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// notice, this list of conditions and the following disclaimer.
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//
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// 2. Redistributions in binary form must reproduce the above copyright
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// notice, this list of conditions and the following disclaimer in the
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// documentation and/or other materials provided with the distribution.
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//
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// 3. The names of its contributors may not be used to endorse or promote
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// products derived from this software without specific prior written
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// permission.
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//
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// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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// "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
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// LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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// A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
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// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
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// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
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// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
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// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
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// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
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// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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// The original code included the following notice:
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//
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// When you use this, send an email to: matumoto@math.keio.ac.jp
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// with an appropriate reference to your work.
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//
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// It would be nice to CC: rjwagner@writeme.com and Cokus@math.washington.edu
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// when you write.
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#pragma once
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// Not thread safe (unless auto-initialization is avoided and each thread has
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// its own MTRand object)
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#include <iostream>
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#include <limits.h>
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#include <stdio.h>
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#include <time.h>
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#include <math.h>
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#if !defined(_WIN32)
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#include <stdint.h>
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#else
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typedef unsigned long uint32_t;
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#endif
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class MTRand {
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// Data
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public:
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enum { N = 624 }; // length of state vector
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enum { SAVE = N + 1 }; // length of array for save()
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protected:
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enum { M = 397 }; // period parameter
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uint32_t state[N]; // internal state
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uint32_t *pNext; // next value to get from state
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int left; // number of values left before reload needed
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//Methods
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public:
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MTRand(const uint32_t& oneSeed); // initialize with a simple uint32_t
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MTRand(uint32_t *const bigSeed, uint32_t const seedLength = N); // or an array
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MTRand(); // auto-initialize with /dev/urandom or time() and clock()
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// Do NOT use for CRYPTOGRAPHY without securely hashing several returned
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// values together, otherwise the generator state can be learned after
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// reading 624 consecutive values.
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// Access to 32-bit random numbers
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double rand(); // real number in [0,1]
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double rand(const double& n); // real number in [0,n]
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double randExc(); // real number in [0,1)
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double randExc(const double& n); // real number in [0,n)
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double randDblExc(); // real number in (0,1)
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double randDblExc(const double& n); // real number in (0,n)
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uint32_t randInt(); // integer in [0,2^32-1]
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uint32_t randInt(const uint32_t& n); // integer in [0,n] for n < 2^32
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double operator()() { return rand(); } // same as rand()
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// Access to 53-bit random numbers (capacity of IEEE double precision)
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double rand53(); // real number in [0,1)
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// Access to nonuniform random number distributions
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double randNorm(const double& mean = 0.0, const double& variance = 0.0);
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// Re-seeding functions with same behavior as initializers
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void seed(const uint32_t oneSeed);
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void seed(uint32_t *const bigSeed, const uint32_t seedLength = N);
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void seed();
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// Saving and loading generator state
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void save(uint32_t* saveArray) const; // to array of size SAVE
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void load(uint32_t *const loadArray); // from such array
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friend std::ostream& operator<<(std::ostream& os, const MTRand& mtrand);
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friend std::istream& operator>>(std::istream& is, MTRand& mtrand);
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protected:
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void initialize(const uint32_t oneSeed);
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void reload();
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uint32_t hiBit(const uint32_t& u) const {
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return u & 0x80000000UL;
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}
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uint32_t loBit(const uint32_t& u) const {
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return u & 0x00000001UL;
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}
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uint32_t loBits(const uint32_t& u) const {
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return u & 0x7fffffffUL;
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}
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uint32_t mixBits(const uint32_t& u, const uint32_t& v) const {
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return hiBit(u) | loBits(v);
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}
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uint32_t twist(const uint32_t& m, const uint32_t& s0, const uint32_t& s1) const {
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return m ^ (mixBits(s0,s1)>>1) ^ (-loBit(s1) & 0x9908b0dfUL);
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}
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static uint32_t hash(time_t t, clock_t c);
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};
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inline MTRand::MTRand(const uint32_t& oneSeed) {
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seed(oneSeed);
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}
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inline MTRand::MTRand(uint32_t *const bigSeed, const uint32_t seedLength) {
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seed(bigSeed,seedLength);
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}
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inline MTRand::MTRand() {
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seed();
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}
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inline double MTRand::rand() {
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return double(randInt()) * (1.0/4294967295.0);
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}
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inline double MTRand::rand(const double& n) {
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return rand() * n;
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}
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inline double MTRand::randExc() {
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return double(randInt()) * (1.0/4294967296.0);
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}
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inline double MTRand::randExc(const double& n) {
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return randExc() * n;
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}
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inline double MTRand::randDblExc() {
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return (double(randInt()) + 0.5) * (1.0/4294967296.0);
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}
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inline double MTRand::randDblExc(const double& n) {
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return randDblExc() * n;
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}
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inline double MTRand::rand53() {
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uint32_t a = randInt() >> 5, b = randInt() >> 6;
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return (a * 67108864.0 + b) * (1.0/9007199254740992.0); // by Isaku Wada
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}
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inline double MTRand::randNorm(const double& mean, const double& variance) {
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// Return a real number from a normal (Gaussian) distribution with given
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// mean and variance by Box-Muller method
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double r = sqrt(-2.0 * log(1.0-randDblExc())) * variance;
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double phi = 2.0 * 3.14159265358979323846264338328 * randExc();
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return mean + r * cos(phi);
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}
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inline uint32_t MTRand::randInt() {
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// Pull a 32-bit integer from the generator state
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// Every other access function simply transforms the numbers extracted here
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if(left == 0) reload();
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--left;
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uint32_t s1;
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s1 = *pNext++;
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s1 ^= (s1 >> 11);
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s1 ^= (s1 << 7) & 0x9d2c5680UL;
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s1 ^= (s1 << 15) & 0xefc60000UL;
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return (s1 ^ (s1 >> 18));
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}
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inline uint32_t MTRand::randInt(const uint32_t& n) {
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// Find which bits are used in n
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// Optimized by Magnus Jonsson (magnus@smartelectronix.com)
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uint32_t used = n;
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used |= used >> 1;
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used |= used >> 2;
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used |= used >> 4;
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used |= used >> 8;
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used |= used >> 16;
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// Draw numbers until one is found in [0,n]
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uint32_t i;
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do {
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i = randInt() & used; // toss unused bits to shorten search
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} while(i > n);
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return i;
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}
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inline void MTRand::seed(const uint32_t oneSeed) {
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// Seed the generator with a simple uint32_t
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initialize(oneSeed);
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reload();
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}
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inline void MTRand::seed(uint32_t *const bigSeed, const uint32_t seedLength) {
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// Seed the generator with an array of uint32_t's
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// There are 2^19937-1 possible initial states. This function allows
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// all of those to be accessed by providing at least 19937 bits (with a
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// default seed length of N = 624 uint32_t's). Any bits above the lower 32
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// in each element are discarded.
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// Just call seed() if you want to get array from /dev/urandom
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initialize(19650218UL);
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int i = 1;
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uint32_t j = 0;
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int k = (N > seedLength ? N : seedLength);
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for(; k; --k) {
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state[i] =
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state[i] ^ ((state[i-1] ^ (state[i-1] >> 30)) * 1664525UL);
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state[i] += (bigSeed[j] & 0xffffffffUL) + j;
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state[i] &= 0xffffffffUL;
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++i; ++j;
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if(i >= N) { state[0] = state[N-1]; i = 1; }
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if(j >= seedLength) j = 0;
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}
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for(k = N - 1; k; --k) {
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state[i] = state[i] ^ ((state[i-1] ^ (state[i-1] >> 30)) * 1566083941UL);
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state[i] -= i;
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state[i] &= 0xffffffffUL;
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++i;
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if(i >= N) { state[0] = state[N-1]; i = 1; }
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}
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state[0] = 0x80000000UL; // MSB is 1, assuring non-zero initial array
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reload();
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}
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inline void MTRand::seed() {
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// Seed the generator with an array from /dev/urandom if available
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// Otherwise use a hash of time() and clock() values
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// First try getting an array from /dev/urandom
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FILE* urandom = fopen("/dev/urandom", "rb");
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if(urandom) {
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uint32_t bigSeed[N];
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uint32_t *s = bigSeed;
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int i = N;
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bool success = true;
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while(success && i--)
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success = fread(s++, sizeof(uint32_t), 1, urandom);
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fclose(urandom);
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if(success) { seed(bigSeed, N); return; }
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}
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// Was not successful, so use time() and clock() instead
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seed(hash(time(NULL), clock()));
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}
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inline void MTRand::initialize(const uint32_t seed) {
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// Initialize generator state with seed
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// See Knuth TAOCP Vol 2, 3rd Ed, p.106 for multiplier.
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// In previous versions, most significant bits (MSBs) of the seed affect
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// only MSBs of the state array. Modified 9 Jan 2002 by Makoto Matsumoto.
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uint32_t *s = state;
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uint32_t *r = state;
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int i = 1;
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*s++ = seed & 0xffffffffUL;
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for(; i < N; ++i) {
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*s++ = (1812433253UL * (*r ^ (*r >> 30)) + i) & 0xffffffffUL;
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r++;
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}
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}
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inline void MTRand::reload() {
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// Generate N new values in state
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// Made clearer and faster by Matthew Bellew (matthew.bellew@home.com)
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uint32_t *p = state;
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int i;
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for(i = N - M; i--; ++p)
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*p = twist(p[M], p[0], p[1]);
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for(i = M; --i; ++p)
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*p = twist(p[M-N], p[0], p[1]);
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*p = twist(p[M-N], p[0], state[0]);
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left = N, pNext = state;
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}
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inline uint32_t MTRand::hash(time_t t, clock_t c) {
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// Get a uint32_t from t and c
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// Better than uint32_t(x) in case x is floating point in [0,1]
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// Based on code by Lawrence Kirby (fred@genesis.demon.co.uk)
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static uint32_t differ = 0; // guarantee time-based seeds will change
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uint32_t h1 = 0;
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unsigned char *p = (unsigned char *) &t;
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for(size_t i = 0; i < sizeof(t); ++i) {
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h1 *= UCHAR_MAX + 2U;
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h1 += p[i];
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}
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uint32_t h2 = 0;
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p = (unsigned char *) &c;
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for(size_t j = 0; j < sizeof(c); ++j) {
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h2 *= UCHAR_MAX + 2U;
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h2 += p[j];
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}
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return (h1 + differ++) ^ h2;
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}
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inline void MTRand::save(uint32_t* saveArray) const {
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uint32_t *sa = saveArray;
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const uint32_t *s = state;
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int i = N;
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for(; i--; *sa++ = *s++) {}
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*sa = left;
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}
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inline void MTRand::load(uint32_t *const loadArray) {
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uint32_t *s = state;
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uint32_t *la = loadArray;
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int i = N;
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for(; i--; *s++ = *la++) {}
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left = *la;
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pNext = &state[N-left];
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}
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inline std::ostream& operator<<(std::ostream& os, const MTRand& mtrand) {
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const uint32_t *s = mtrand.state;
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int i = mtrand.N;
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for(; i--; os << *s++ << "\t") {}
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return os << mtrand.left;
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}
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inline std::istream& operator>>(std::istream& is, MTRand& mtrand) {
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uint32_t *s = mtrand.state;
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int i = mtrand.N;
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for(; i--; is >> *s++) {}
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is >> mtrand.left;
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mtrand.pNext = &mtrand.state[mtrand.N-mtrand.left];
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return is;
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}
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// Change log:
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//
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// v0.1 - First release on 15 May 2000
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// - Based on code by Makoto Matsumoto, Takuji Nishimura, and Shawn Cokus
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// - Translated from C to C++
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// - Made completely ANSI compliant
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// - Designed convenient interface for initialization, seeding, and
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// obtaining numbers in default or user-defined ranges
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// - Added automatic seeding from /dev/urandom or time() and clock()
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// - Provided functions for saving and loading generator state
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//
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// v0.2 - Fixed bug which reloaded generator one step too late
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//
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// v0.3 - Switched to clearer, faster reload() code from Matthew Bellew
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//
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// v0.4 - Removed trailing newline in saved generator format to be consistent
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// with output format of built-in types
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//
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// v0.5 - Improved portability by replacing static const int's with enum's and
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// clarifying return values in seed(); suggested by Eric Heimburg
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// - Removed MAXINT constant; use 0xffffffffUL instead
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//
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// v0.6 - Eliminated seed overflow when uint32_t is larger than 32 bits
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// - Changed integer [0,n] generator to give better uniformity
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//
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// v0.7 - Fixed operator precedence ambiguity in reload()
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// - Added access for real numbers in (0,1) and (0,n)
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//
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// v0.8 - Included time.h header to properly support time_t and clock_t
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//
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// v1.0 - Revised seeding to match 26 Jan 2002 update of Nishimura and Matsumoto
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// - Allowed for seeding with arrays of any length
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// - Added access for real numbers in [0,1) with 53-bit resolution
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// - Added access for real numbers from normal (Gaussian) distributions
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// - Increased overall speed by optimizing twist()
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// - Doubled speed of integer [0,n] generation
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// - Fixed out-of-range number generation on 64-bit machines
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// - Improved portability by substituting literal constants for long enum's
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// - Changed license from GNU LGPL to BSD
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