113 lines
3.1 KiB
C++
113 lines
3.1 KiB
C++
#ifndef XGBOOST_UTILS_RANDOM_H_
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#define XGBOOST_UTILS_RANDOM_H_
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/*!
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* \file xgboost_random.h
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* \brief PRNG to support random number generation
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* \author Tianqi Chen: tianqi.tchen@gmail.com
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*
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* Use standard PRNG from stdlib
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*/
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#include <cmath>
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#include <cstdlib>
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#include <vector>
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#include <algorithm>
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#include "./utils.h"
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/*! namespace of PRNG */
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namespace xgboost {
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namespace random {
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/*! \brief seed the PRNG */
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inline void Seed(uint32_t seed) {
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srand(seed);
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}
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/*! \brief return a real number uniform in [0,1) */
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inline double NextDouble(void) {
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return static_cast<double>(rand()) / (static_cast<double>(RAND_MAX)+1.0);
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}
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/*! \brief return a real numer uniform in (0,1) */
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inline double NextDouble2(void) {
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return (static_cast<double>(rand()) + 1.0) / (static_cast<double>(RAND_MAX)+2.0);
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}
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/*! \brief return a random number */
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inline uint32_t NextUInt32(void) {
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return (uint32_t)rand();
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}
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/*! \brief return a random number in n */
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inline uint32_t NextUInt32(uint32_t n) {
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return (uint32_t)floor(NextDouble() * n);
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}
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/*! \brief return x~N(0,1) */
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inline double SampleNormal() {
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double x, y, s;
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do {
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x = 2 * NextDouble2() - 1.0;
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y = 2 * NextDouble2() - 1.0;
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s = x*x + y*y;
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} while (s >= 1.0 || s == 0.0);
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return x * sqrt(-2.0 * log(s) / s);
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}
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/*! \brief return iid x,y ~N(0,1) */
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inline void SampleNormal2D(double &xx, double &yy) {
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double x, y, s;
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do {
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x = 2 * NextDouble2() - 1.0;
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y = 2 * NextDouble2() - 1.0;
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s = x*x + y*y;
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} while (s >= 1.0 || s == 0.0);
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double t = sqrt(-2.0 * log(s) / s);
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xx = x * t;
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yy = y * t;
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}
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/*! \brief return x~N(mu,sigma^2) */
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inline double SampleNormal(double mu, double sigma) {
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return SampleNormal() * sigma + mu;
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}
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/*! \brief return 1 with probability p, coin flip */
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inline int SampleBinary(double p) {
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return NextDouble() < p;
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}
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template<typename T>
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inline void Shuffle(T *data, size_t sz) {
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if (sz == 0) return;
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for (uint32_t i = (uint32_t)sz - 1; i > 0; i--) {
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std::swap(data[i], data[NextUInt32(i + 1)]);
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}
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}
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// random shuffle the data inside, require PRNG
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template<typename T>
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inline void Shuffle(std::vector<T> &data) {
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Shuffle(&data[0], data.size());
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}
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/*! \brief random number generator with independent random number seed*/
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struct Random{
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/*! \brief set random number seed */
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inline void Seed(unsigned sd) {
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this->rseed = sd;
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#if defined(_MSC_VER)||defined(_WIN32)
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srand(rseed);
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#endif
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}
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/*! \brief return a real number uniform in [0,1) */
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inline double RandDouble(void) {
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// use rand instead of rand_r in windows, for MSVC it is fine since rand is threadsafe
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// For cygwin and mingw, this can slows down parallelism, but rand_r is only used in objective-inl.hpp, won't affect speed in general
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// todo, replace with another PRNG
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#if defined(_MSC_VER)||defined(_WIN32)
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return static_cast<double>(rand()) / (static_cast<double>(RAND_MAX) + 1.0);
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#else
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return static_cast<double>(rand_r(&rseed)) / (static_cast<double>(RAND_MAX) + 1.0);
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#endif
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}
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// random number seed
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unsigned rseed;
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};
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} // namespace random
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} // namespace xgboost
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#endif // XGBOOST_UTILS_RANDOM_H_
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