RngGsl.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008-2017 The PECOS Development Team
//
// This library is free software; you can redistribute it and/or
// modify it under the terms of the Version 2.1 GNU Lesser General
// Public License as published by the Free Software Foundation.
//
// This library is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// Lesser General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc. 51 Franklin Street, Fifth Floor,
// Boston, MA  02110-1301  USA
//
//-----------------------------------------------------------------------el-

#ifndef UQ_RNG_GSL_H
#define UQ_RNG_GSL_H

#include <queso/RngBase.h>

#include <queso/Defines.h>
#include <gsl/gsl_rng.h>


extern unsigned long int gsl_rng_default_seed;

namespace QUESO {

class RngGsl : public RngBase
{
public:


  /* Uses GSL with the generator of type: gsl_rng_ranlxd2. This is the second, of a total of three
   luxury random numbers, all an extension of a second-generation version of the ranlux algorithm of
   Lüscher. The period of the generator is about 10^171. The algorithm has mathematically proven
   properties and can provide truly decorrelated numbers at a known level of randomness. The higher
   luxury levels provide increased decorrelation between samples as an additional safety margin.*/
  RngGsl(int seed, int worldRank);

 ~RngGsl();


  void     resetSeed     (int newSeed);


  double   uniformSample ()                          const;


  double   gaussianSample(double stdDev)             const;


  double   betaSample    (double alpha, double beta) const;


  double   gammaSample   (double a, double b)        const;

  const gsl_rng* rng           () const;

protected:
  RngGsl();


  gsl_rng* m_rng;
};

}  // End namespace QUESO

#endif // UQ_RNG_GSL_H