3 * Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007 James Theiler, Brian Gough
5 * This program is free software; you can redistribute it and/or modify
6 * it under the terms of the GNU General Public License as published by
7 * the Free Software Foundation; either version 3 of the License, or (at
8 * your option) any later version.
10 * This program is distributed in the hope that it will be useful, but
11 * WITHOUT ANY WARRANTY; without even the implied warranty of
12 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
13 * General Public License for more details.
15 * You should have received a copy of the GNU General Public License
16 * along with this program; if not, write to the Free Software
17 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
22 #include <gsl/gsl_rng.h>
23 #include <gsl/gsl_randist.h>
25 /* The Rayleigh distribution has the form
27 p(x) dx = (x / sigma^2) exp(-x^2/(2 sigma^2)) dx
29 for x = 0 ... +infty */
32 gsl_ran_rayleigh (const gsl_rng * r, const double sigma)
34 double u = gsl_rng_uniform_pos (r);
36 return sigma * sqrt(-2.0 * log (u));
40 gsl_ran_rayleigh_pdf (const double x, const double sigma)
48 double u = x / sigma ;
49 double p = (u / sigma) * exp(-u * u / 2.0) ;
55 /* The Rayleigh tail distribution has the form
57 p(x) dx = (x / sigma^2) exp((a^2 - x^2)/(2 sigma^2)) dx
59 for x = a ... +infty */
62 gsl_ran_rayleigh_tail (const gsl_rng * r, const double a, const double sigma)
64 double u = gsl_rng_uniform_pos (r);
66 return sqrt(a * a - 2.0 * sigma * sigma * log (u));
70 gsl_ran_rayleigh_tail_pdf (const double x, const double a, const double sigma)
78 double u = x / sigma ;
79 double v = a / sigma ;
81 double p = (u / sigma) * exp((v + u) * (v - u) / 2.0) ;