# include # include # include # include # include # include # include # include using namespace std; int main ( int argc, char *argv[] ); int i4_max ( int i1, int i2 ); int i4_min ( int i1, int i2 ); double *multinormal_sample ( int m, int n, double a[], double mu[], int *seed ); double r8_uniform_01 ( int *seed ); void r8mat_print ( int m, int n, double a[], string title ); void r8mat_print_some ( int m, int n, double a[], int ilo, int jlo, int ihi, int jhi, string title ); void r8mat_write ( string output_filename, int m, int n, double table[] ); double *r8po_fa ( int n, double a[] ); double *r8vec_normal_01_new ( int n, int *seed ); void r8vec_print ( int n, double a[], string title ); double *r8vec_uniform_01_new ( int n, int *seed ); void timestamp ( ); //****************************************************************************80 int main ( int argc, char *argv[] ) //****************************************************************************80 // // Purpose: // // MAIN is the main program for NORMAL_DATASET. // // Discussion: // // NORMAL_DATASET generates a dataset of multivariate normal random values, // and writes it to a file. // // Usage: // // normal_dataset m n seed mu a // // where // // * M, the spatial dimension, // * N, the number of points to generate, // * SEED, the seed, a positive integer. // * MU, the mean vector. // * A, the MxM variance-covariance matrix. // // creates an M by N multivariate normal random dataset and writes it // to the file "normal_M_N.txt"./ // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 09 December 2009 // // Author: // // John Burkardt // { double *a; string output_filename; int i; int j; int k; int m; double *mu; ostringstream m_ostring; int n; ostringstream n_ostring; double *x; int seed; timestamp ( ); cout << "\n"; cout << "NORMAL_DATASET\n"; cout << " C++ version\n"; cout << "\n"; cout << " Compiled on " << __DATE__ << " at " << __TIME__ << ".\n"; cout << "\n"; cout << " Generate a multivariate normal random dataset.\n"; cout << "\n"; cout << " The program requests input values from the user:\n"; cout << "\n"; cout << " * M, the spatial dimension,\n"; cout << " * N, the number of points to generate,\n"; cout << " * SEED, a positive integer.\n"; cout << " * MU, the mean vector of length M.\n"; cout << " * A, the MxM variance-covariance matrix.\n"; cout << "\n"; cout << " The program generates the data, writes it to the file\n"; cout << "\n"; cout << " normal_M_N.txt\n"; cout << "\n"; cout << " where ""M"" and ""N"" are the numeric values specified\n"; cout << " by the user.\n"; // // Get the spatial dimension. // if ( 1 < argc ) { m = atoi ( argv[1] ); } else { cout << "\n"; cout << " Enter the value of M\n"; cin >> m; } cout << "\n"; cout << " Spatial dimension M = " << m << "\n"; // // Get the number of points. // if ( 2 < argc ) { n = atoi ( argv[2] ); } else { cout << "\n"; cout << " Enter the number of points N\n"; cin >> n; } cout << "\n"; cout << " Number of points N = " << n << "\n"; // // Get the seed. // if ( 3 < argc ) { seed = atoi ( argv[3] ); } else { cout << "\n"; cout << " Enter the value of SEED\n"; cin >> seed; } cout << "\n"; cout << " The seed is = " << seed << "\n"; // // Get the mean. // mu = new double[m]; k = 4; if ( 4 < argc ) { for ( i = 0; i < m; i++ ) { mu[i] = atof ( argv[k] ); k = k + 1; } } else { cout << "\n"; cout << " Enter MU:\n"; for ( i = 0; i < m; i++ ) { cin >> mu[i]; } } r8vec_print ( m, mu, " The mean vector M:" ); // // Get the variance-covariance matrix. // a = new double[m*m]; if ( 5 < argc ) { for ( i = 0; i < m; i++ ) { for ( j = 0; j < m; j++ ) { a[i+j*m] = atof ( argv[k] ); k = k + 1; } } } else { cout << "\n"; cout << " Enter A:\n"; for ( i = 0; i < m; i++ ) { for ( j = 0; j < m; j++ ) { cin >> a[i+j*m]; } } } r8mat_print ( m, m, a, " The variance-covariance matrix A:" ); // // Compute the data. // x = multinormal_sample ( m, n, a, mu, &seed ); // // Write it to a file. // m_ostring << m; n_ostring << n; output_filename = "normal_" + m_ostring.str ( ) + "_" + n_ostring.str ( ) + ".txt"; r8mat_write ( output_filename, m, n, x ); cout << "\n"; cout << " The data was written to the file \"" << output_filename << "\".\n"; // // Terminate. // delete [] a; delete [] mu; delete [] x; cout << "\n"; cout << "NORMAL_DATASET:\n"; cout << " Normal end of execution.\n"; cout << "\n"; timestamp ( ); return 0; } //****************************************************************************80 int i4_max ( int i1, int i2 ) //****************************************************************************80 // // Purpose: // // I4_MAX returns the maximum of two I4's. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 13 October 1998 // // Author: // // John Burkardt // // Parameters: // // Input, int I1, I2, are two integers to be compared. // // Output, int I4_MAX, the larger of I1 and I2. // { int value; if ( i2 < i1 ) { value = i1; } else { value = i2; } return value; } //****************************************************************************80 int i4_min ( int i1, int i2 ) //****************************************************************************80 // // Purpose: // // I4_MIN returns the minimum of two I4's. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 13 October 1998 // // Author: // // John Burkardt // // Parameters: // // Input, int I1, I2, two integers to be compared. // // Output, int I4_MIN, the smaller of I1 and I2. // { int value; if ( i1 < i2 ) { value = i1; } else { value = i2; } return value; } //****************************************************************************80 double *multinormal_sample ( int m, int n, double a[], double mu[], int *seed ) //****************************************************************************80 // // Purpose: // // MULTINORMAL_SAMPLE samples a multivariate normal distribution. // // Discussion: // // The multivariate normal distribution for the M dimensional vector X // has the form: // // pdf(X) = (2*pi*det(A))**(-M/2) * exp(-0.5*(X-MU)'*inverse(A)*(X-MU)) // // where MU is the mean vector, and A is a positive definite symmetric // matrix called the variance-covariance matrix. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 09 December 2009 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the dimension of the space. // // Input, int N, the number of points. // // Input, double A[M*M], the variance-covariance // matrix. A must be positive definite symmetric. // // Input, double MU[M], the mean vector. // // Input/output, int *SEED, the random number seed. // // Output, double MULTINORMAL_SAMPLE[M], the points. // { int i; int j; int k; double *r; double *x; double *y; // // Compute the upper triangular Cholesky factor R of the variance-covariance // matrix. // r = r8po_fa ( m, a ); if ( !r ) { cout << "\n"; cout << "MULTINORMAL_SAMPLE - Fatal error!\n"; cout << " The variance-covariance matrix is not positive definite symmetric.\n"; exit ( 1 ); } // // Y = MxN matrix of samples of the 1D normal distribution with mean 0 // and variance 1. // y = r8vec_normal_01_new ( m*n, seed ); // // Compute X = MU + R' * Y. // x = new double[m*n]; for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { x[i+j*m] = mu[i]; for ( k = 0; k < m; k++ ) { x[i+j*m] = x[i+j*m] + r[k+i*m] * y[k+j*m]; } } } delete [] r; delete [] y; return x; } //****************************************************************************80 double r8_uniform_01 ( int *seed ) //****************************************************************************80 // // Purpose: // // R8_UNIFORM_01 returns a unit pseudorandom R8. // // Discussion: // // This routine implements the recursion // // seed = ( 16807 * seed ) mod ( 2^31 - 1 ) // u = seed / ( 2^31 - 1 ) // // The integer arithmetic never requires more than 32 bits, // including a sign bit. // // If the initial seed is 12345, then the first three computations are // // Input Output R8_UNIFORM_01 // SEED SEED // // 12345 207482415 0.096616 // 207482415 1790989824 0.833995 // 1790989824 2035175616 0.947702 // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 11 August 2004 // // Author: // // John Burkardt // // Reference: // // Paul Bratley, Bennett Fox, Linus Schrage, // A Guide to Simulation, // Second Edition, // Springer, 1987, // ISBN: 0387964673, // LC: QA76.9.C65.B73. // // Bennett Fox, // Algorithm 647: // Implementation and Relative Efficiency of Quasirandom // Sequence Generators, // ACM Transactions on Mathematical Software, // Volume 12, Number 4, December 1986, pages 362-376. // // Pierre L'Ecuyer, // Random Number Generation, // in Handbook of Simulation, // edited by Jerry Banks, // Wiley, 1998, // ISBN: 0471134031, // LC: T57.62.H37. // // Peter Lewis, Allen Goodman, James Miller, // A Pseudo-Random Number Generator for the System/360, // IBM Systems Journal, // Volume 8, Number 2, 1969, pages 136-143. // // Parameters: // // Input/output, int *SEED, the "seed" value. Normally, this // value should not be 0. On output, SEED has been updated. // // Output, double R8_UNIFORM_01, a new pseudorandom variate, // strictly between 0 and 1. // { int i4_huge = 2147483647; int k; double r; if ( *seed == 0 ) { cerr << "\n"; cerr << "R8_UNIFORM_01 - Fatal error!\n"; cerr << " Input value of SEED = 0.\n"; exit ( 1 ); } k = *seed / 127773; *seed = 16807 * ( *seed - k * 127773 ) - k * 2836; if ( *seed < 0 ) { *seed = *seed + i4_huge; } // // Although SEED can be represented exactly as a 32 bit integer, // it generally cannot be represented exactly as a 32 bit real number. // r = ( double ) ( *seed ) * 4.656612875E-10; return r; } //****************************************************************************80 void r8mat_print ( int m, int n, double a[], string title ) //****************************************************************************80 // // Purpose: // // R8MAT_PRINT prints an R8MAT. // // Discussion: // // An R8MAT is a doubly dimensioned array of R8 values, stored as a vector // in column-major order. // // Entry A(I,J) is stored as A[I+J*M] // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 10 September 2009 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows in A. // // Input, int N, the number of columns in A. // // Input, double A[M*N], the M by N matrix. // // Input, string TITLE, a title. // { r8mat_print_some ( m, n, a, 1, 1, m, n, title ); return; } //****************************************************************************80 void r8mat_print_some ( int m, int n, double a[], int ilo, int jlo, int ihi, int jhi, string title ) //****************************************************************************80 // // Purpose: // // R8MAT_PRINT_SOME prints some of an R8MAT. // // Discussion: // // An R8MAT is a doubly dimensioned array of R8 values, stored as a vector // in column-major order. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 10 September 2009 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows of the matrix. // M must be positive. // // Input, int N, the number of columns of the matrix. // N must be positive. // // Input, double A[M*N], the matrix. // // Input, int ILO, JLO, IHI, JHI, designate the first row and // column, and the last row and column to be printed. // // Input, string TITLE, a title. // { # define INCX 5 int i; int i2hi; int i2lo; int j; int j2hi; int j2lo; cout << "\n"; cout << title << "\n"; // // Print the columns of the matrix, in strips of 5. // for ( j2lo = jlo; j2lo <= jhi; j2lo = j2lo + INCX ) { j2hi = j2lo + INCX - 1; j2hi = i4_min ( j2hi, n ); j2hi = i4_min ( j2hi, jhi ); cout << "\n"; // // For each column J in the current range... // // Write the header. // cout << " Col: "; for ( j = j2lo; j <= j2hi; j++ ) { cout << setw(7) << j << " "; } cout << "\n"; cout << " Row\n"; cout << "\n"; // // Determine the range of the rows in this strip. // i2lo = i4_max ( ilo, 1 ); i2hi = i4_min ( ihi, m ); for ( i = i2lo; i <= i2hi; i++ ) { // // Print out (up to) 5 entries in row I, that lie in the current strip. // cout << setw(5) << i << " "; for ( j = j2lo; j <= j2hi; j++ ) { cout << setw(12) << a[i-1+(j-1)*m] << " "; } cout << "\n"; } } return; # undef INCX } //****************************************************************************80 void r8mat_write ( string output_filename, int m, int n, double table[] ) //****************************************************************************80 // // Purpose: // // R8MAT_WRITE writes an R8MAT file with no header. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 29 June 2009 // // Author: // // John Burkardt // // Parameters: // // Input, string OUTPUT_FILENAME, the output filename. // // Input, int M, the spatial dimension. // // Input, int N, the number of points. // // Input, double TABLE[M*N], the table data. // { int i; int j; ofstream output; // // Open the file. // output.open ( output_filename.c_str ( ) ); if ( !output ) { cerr << "\n"; cerr << "R8MAT_WRITE - Fatal error!\n"; cerr << " Could not open the output file.\n"; return; } // // Write the data. // for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { output << " " << setw(24) << setprecision(16) << table[i+j*m]; } output << "\n"; } // // Close the file. // output.close ( ); return; } //****************************************************************************80 double *r8po_fa ( int n, double a[] ) //****************************************************************************80 // // Purpose: // // R8PO_FA factors a R8PO matrix. // // Discussion: // // The R8PO storage format is appropriate for a symmetric positive definite // matrix and its inverse. (The Cholesky factor of a R8PO matrix is an // upper triangular matrix, so it will be in R8GE storage format.) // // Only the diagonal and upper triangle of the square array are used. // This same storage format is used when the matrix is factored by // R8PO_FA, or inverted by R8PO_INVERSE. For clarity, the lower triangle // is set to zero. // // The positive definite symmetric matrix A has a Cholesky factorization // of the form: // // A = R' * R // // where R is an upper triangular matrix with positive elements on // its diagonal. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 04 February 2004 // // Author: // // Original FORTRAN77 version by Dongarra, Bunch, Moler, Stewart. // C++ version by John Burkardt. // // Reference: // // Jack Dongarra, Jim Bunch, Cleve Moler, Pete Stewart, // LINPACK User's Guide, // SIAM, 1979, // ISBN13: 978-0-898711-72-1, // LC: QA214.L56. // // Parameters: // // Input, int N, the order of the matrix. // // Input, double A[N*N], the matrix in R8PO storage. // // Output, double R8PO_FA[N*N], the Cholesky factor in SGE // storage, or NULL if there was an error. // { double *b; int i; int j; int k; double s; b = new double[n*n]; for ( j = 0; j < n; j++ ) { for ( i = 0; i < n; i++ ) { b[i+j*n] = a[i+j*n]; } } for ( j = 0; j < n; j++ ) { for ( k = 0; k <= j-1; k++ ) { for ( i = 0; i <= k-1; i++ ) { b[k+j*n] = b[k+j*n] - b[i+k*n] * b[i+j*n]; } b[k+j*n] = b[k+j*n] / b[k+k*n]; } s = b[j+j*n]; for ( i = 0; i <= j-1; i++ ) { s = s - b[i+j*n] * b[i+j*n]; } if ( s <= 0.0 ) { delete [] b; return NULL; } b[j+j*n] = sqrt ( s ); } // // Since the Cholesky factor is in R8GE format, zero out the lower triangle. // for ( i = 0; i < n; i++ ) { for ( j = 0; j < i; j++ ) { b[i+j*n] = 0.0; } } return b; } //****************************************************************************80 double *r8vec_normal_01_new ( int n, int *seed ) //****************************************************************************80 // // Purpose: // // R8VEC_NORMAL_01_NEW returns a unit pseudonormal R8VEC. // // Discussion: // // The standard normal probability distribution function (PDF) has // mean 0 and standard deviation 1. // // This routine can generate a vector of values on one call. It // has the feature that it should provide the same results // in the same order no matter how we break up the task. // // Before calling this routine, the user may call RANDOM_SEED // in order to set the seed of the random number generator. // // The Box-Muller method is used, which is efficient, but // generates an even number of values each time. On any call // to this routine, an even number of new values are generated. // Depending on the situation, one value may be left over. // In that case, it is saved for the next call. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 18 October 2004 // // Author: // // John Burkardt // // Parameters: // // Input, int N, the number of values desired. If N is negative, // then the code will flush its internal memory; in particular, // if there is a saved value to be used on the next call, it is // instead discarded. This is useful if the user has reset the // random number seed, for instance. // // Input/output, int *SEED, a seed for the random number generator. // // Output, double R8VEC_NORMAL_01_NEW[N], a sample of the standard normal PDF. // // Local parameters: // // Local, int MADE, records the number of values that have // been computed. On input with negative N, this value overwrites // the return value of N, so the user can get an accounting of // how much work has been done. // // Local, real R(N+1), is used to store some uniform random values. // Its dimension is N+1, but really it is only needed to be the // smallest even number greater than or equal to N. // // Local, int SAVED, is 0 or 1 depending on whether there is a // single saved value left over from the previous call. // // Local, int X_LO, X_HI, records the range of entries of // X that we need to compute. This starts off as 1:N, but is adjusted // if we have a saved value that can be immediately stored in X(1), // and so on. // // Local, real Y, the value saved from the previous call, if // SAVED is 1. // { # define PI 3.141592653589793 int i; int m; static int made = 0; double *r; static int saved = 0; double *x; int x_hi; int x_lo; static double y = 0.0; x = new double[n]; // // I'd like to allow the user to reset the internal data. // But this won't work properly if we have a saved value Y. // I'm making a crock option that allows the user to signal // explicitly that any internal memory should be flushed, // by passing in a negative value for N. // if ( n < 0 ) { made = 0; saved = 0; y = 0.0; return NULL; } else if ( n == 0 ) { return NULL; } // // Record the range of X we need to fill in. // x_lo = 1; x_hi = n; // // Use up the old value, if we have it. // if ( saved == 1 ) { x[0] = y; saved = 0; x_lo = 2; } // // Maybe we don't need any more values. // if ( x_hi - x_lo + 1 == 0 ) { } // // If we need just one new value, do that here to avoid null arrays. // else if ( x_hi - x_lo + 1 == 1 ) { r = r8vec_uniform_01_new ( 2, seed ); x[x_hi-1] = sqrt ( - 2.0 * log ( r[0] ) ) * cos ( 2.0 * PI * r[1] ); y = sqrt ( - 2.0 * log ( r[0] ) ) * sin ( 2.0 * PI * r[1] ); saved = 1; made = made + 2; delete [] r; } // // If we require an even number of values, that's easy. // else if ( ( x_hi - x_lo + 1 ) % 2 == 0 ) { m = ( x_hi - x_lo + 1 ) / 2; r = r8vec_uniform_01_new ( 2*m, seed ); for ( i = 0; i <= 2*m-2; i = i + 2 ) { x[x_lo+i-1] = sqrt ( - 2.0 * log ( r[i] ) ) * cos ( 2.0 * PI * r[i+1] ); x[x_lo+i ] = sqrt ( - 2.0 * log ( r[i] ) ) * sin ( 2.0 * PI * r[i+1] ); } made = made + x_hi - x_lo + 1; delete [] r; } // // If we require an odd number of values, we generate an even number, // and handle the last pair specially, storing one in X(N), and // saving the other for later. // else { x_hi = x_hi - 1; m = ( x_hi - x_lo + 1 ) / 2 + 1; r = r8vec_uniform_01_new ( 2*m, seed ); for ( i = 0; i <= 2*m-4; i = i + 2 ) { x[x_lo+i-1] = sqrt ( - 2.0 * log ( r[i] ) ) * cos ( 2.0 * PI * r[i+1] ); x[x_lo+i ] = sqrt ( - 2.0 * log ( r[i] ) ) * sin ( 2.0 * PI * r[i+1] ); } i = 2*m - 2; x[x_lo+i-1] = sqrt ( - 2.0 * log ( r[i] ) ) * cos ( 2.0 * PI * r[i+1] ); y = sqrt ( - 2.0 * log ( r[i] ) ) * sin ( 2.0 * PI * r[i+1] ); saved = 1; made = made + x_hi - x_lo + 2; delete [] r; } return x; # undef PI } //****************************************************************************80 void r8vec_print ( int n, double a[], string title ) //****************************************************************************80 // // Purpose: // // R8VEC_PRINT prints an R8VEC. // // Discussion: // // An R8VEC is a vector of R8's. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 16 August 2004 // // Author: // // John Burkardt // // Parameters: // // Input, int N, the number of components of the vector. // // Input, double A[N], the vector to be printed. // // Input, string TITLE, a title. // { int i; cout << "\n"; cout << title << "\n"; cout << "\n"; for ( i = 0; i < n; i++ ) { cout << " " << setw(8) << i << " " << setw(14) << a[i] << "\n"; } return; } //****************************************************************************80 double *r8vec_uniform_01_new ( int n, int *seed ) //****************************************************************************80 // // Purpose: // // R8VEC_UNIFORM_01_NEW returns a new unit pseudorandom R8VEC. // // Discussion: // // This routine implements the recursion // // seed = ( 16807 * seed ) mod ( 2^31 - 1 ) // u = seed / ( 2^31 - 1 ) // // The integer arithmetic never requires more than 32 bits, // including a sign bit. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 19 August 2004 // // Author: // // John Burkardt // // Reference: // // Paul Bratley, Bennett Fox, Linus Schrage, // A Guide to Simulation, // Second Edition, // Springer, 1987, // ISBN: 0387964673, // LC: QA76.9.C65.B73. // // Bennett Fox, // Algorithm 647: // Implementation and Relative Efficiency of Quasirandom // Sequence Generators, // ACM Transactions on Mathematical Software, // Volume 12, Number 4, December 1986, pages 362-376. // // Pierre L'Ecuyer, // Random Number Generation, // in Handbook of Simulation, // edited by Jerry Banks, // Wiley, 1998, // ISBN: 0471134031, // LC: T57.62.H37. // // Peter Lewis, Allen Goodman, James Miller, // A Pseudo-Random Number Generator for the System/360, // IBM Systems Journal, // Volume 8, Number 2, 1969, pages 136-143. // // Parameters: // // Input, int N, the number of entries in the vector. // // Input/output, int *SEED, a seed for the random number generator. // // Output, double R8VEC_UNIFORM_01_NEW[N], the vector of pseudorandom values. // { int i; int i4_huge = 2147483647; int k; double *r; if ( *seed == 0 ) { cerr << "\n"; cerr << "R8VEC_UNIFORM_01_NEW - Fatal error!\n"; cerr << " Input value of SEED = 0.\n"; exit ( 1 ); } r = new double[n]; for ( i = 0; i < n; i++ ) { k = *seed / 127773; *seed = 16807 * ( *seed - k * 127773 ) - k * 2836; if ( *seed < 0 ) { *seed = *seed + i4_huge; } r[i] = ( double ) ( *seed ) * 4.656612875E-10; } return r; } //****************************************************************************80 void timestamp ( ) //****************************************************************************80 // // Purpose: // // TIMESTAMP prints the current YMDHMS date as a time stamp. // // Example: // // 31 May 2001 09:45:54 AM // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 08 July 2009 // // Author: // // John Burkardt // // Parameters: // // None // { # define TIME_SIZE 40 static char time_buffer[TIME_SIZE]; const struct std::tm *tm_ptr; size_t len; std::time_t now; now = std::time ( NULL ); tm_ptr = std::localtime ( &now ); len = std::strftime ( time_buffer, TIME_SIZE, "%d %B %Y %I:%M:%S %p", tm_ptr ); std::cout << time_buffer << "\n"; return; # undef TIME_SIZE }