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Cauchy distribution: optimise sampling #486

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Merged
dhardy merged 1 commit into from
Jun 1, 2018
Merged

Cauchy distribution: optimise sampling #486

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7 changes: 2 additions & 5 deletions src/distributions/cauchy.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -50,12 +50,9 @@ impl Cauchy {
impl Distribution<f64> for Cauchy {
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> f64 {
// sample from [0, 1)
let mut x = rng.gen::<f64>();
// guard against the extremely unlikely case we get the invalid 0.5
while x == 0.5 {
x = rng.gen::<f64>();
}
let x = rng.gen::<f64>();
// get standard cauchy random number
// note that π/2 is not exactly representable, even if x=0.5 the result is finite
let comp_dev = (PI * x).tan();
// shift and scale according to parameters
let result = self.median + self.scale * comp_dev;
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