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From Alex Herbert <alex.d.herb...@gmail.com>
Subject [rng] RNG-101 new MarsagliaTsangWang discrete probability sampler
Date Fri, 10 May 2019 11:57:11 GMT
Can I get a review of the PR for RNG-101 please.

This is a new sampler based on the source code from the paper:

George Marsaglia, Wai Wan Tsang, Jingbo Wang (2004)
Fast Generation of Discrete Random Variables.
Journal of Statistical Software. Vol. 11, Issue. 3, pp. 1-11.

https://www.jstatsoft.org/article/view/v011i03

The code has no explicit licence.

The paper states:

"We have provided C versions of the two methods described here, for 
inclusion in the “Browse
files”section of the journal. ... You may then want to examine the 
components of the two files, for illumination
or for extracting portions that might be usefully applied to your 
discrete distributions."

So I assuming that it can be incorporated with little modification.

The Java implementation has been rewritten to allow the storage to be 
optimised for the required size. The generation of the tables has been 
adapted appropriately and checks have been added on the input parameters 
to ensure the sampler does not generate exceptions once constructed (I 
found out the hard way that the original code was not entirely correct).

Thanks.

Alex



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