sample_tail.js (1579B)
1 /** 2 * @license Apache-2.0 3 * 4 * Copyright (c) 2018 The Stdlib Authors. 5 * 6 * Licensed under the Apache License, Version 2.0 (the "License"); 7 * you may not use this file except in compliance with the License. 8 * You may obtain a copy of the License at 9 * 10 * http://www.apache.org/licenses/LICENSE-2.0 11 * 12 * Unless required by applicable law or agreed to in writing, software 13 * distributed under the License is distributed on an "AS IS" BASIS, 14 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 15 * See the License for the specific language governing permissions and 16 * limitations under the License. 17 */ 18 19 'use strict'; 20 21 // MODULES // 22 23 var ln = require( '@stdlib/math/base/special/ln' ); 24 25 26 // MAIN // 27 28 /** 29 * Transforms the tail of the normal distribution to the unit interval and then uses rejection technique to generate standard normal variable. 30 * 31 * ## References 32 * 33 * - Marsaglia, George. 1964. "Generating a Variable from the Tail of the Normal Distribution." _Technometrics_ 6 (1): 101–2. doi:[10.1080/00401706.1964.10490150](http://dx.doi.org/10.1080/00401706.1964.10490150). 34 * 35 * @private 36 * @param {PRNG} rand - pseudorandom number generator 37 * @param {number} rTail - start value of the right tail 38 * @param {boolean} isNegative - boolean indicating which side to evaluate 39 * @returns {number} standard normal variable 40 */ 41 function sampleTail( rand, rTail, isNegative ) { 42 var x; 43 var y; 44 do { 45 x = ln( rand() ) / rTail; 46 y = ln( rand() ); 47 } while ( -2.0*y < x*x ); 48 return ( isNegative ) ? x-rTail : rTail-x; 49 } 50 51 52 // EXPORTS // 53 54 module.exports = sampleTail;