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Re: [Bug-gsl] Lev� random number generator

From: Brian Gough
Subject: Re: [Bug-gsl] Lev random number generator
Date: Tue, 27 Mar 2007 10:55:54 +0100
User-agent: Wanderlust/2.14.0 (Africa) Emacs/21.3 Mule/5.0 (SAKAKI)

At Mon, 26 Mar 2007 19:48:01 -0300,
address@hidden wrote:
> The Lev� skew random number generator (gsl_ran_levy_skew) does not  
> procuce a Lev� random number when beta=0 (symmetric case), and the  
> gsl_ran_levy function does not work as stated in the docs. I made some  
> histograms from 10^6 samples to check the accuracy of the algorithms,  
> by comparison agaisnt the numerical integration of the equation of  
> Lev�'s PDF. For the gsl_ran_levy function there is a good precison for  
> alpha [1,2], for alpha (0.3,1) you must sum a series of random numbers  
> to get the same precision (tipicaly 100 or more gsl_ran_levy numbers).  
> For alpha<=0.3 the algorithm does not work properly, even worse, the  
> error increases as you add more random numbers. This contradicts the  
> manual that says "the algoritm only works for alpha (0,2]". The  
> function gsl_ran_levy_skew does not produce levy random numbers when  
> beta=0, instead the pdf of the random numbers is a linear (?!?!) one.

Thanks for your email.  Please can you send a small example program
which demonstrates the problem.

Note that the Levy skew generator is tested in the GSL test suite for
several cases where beta=0 -- if you have not done so, can you run
"make check" and confirm that it works for these cases.

Brian Gough
(GSL Maintainer)

Network Theory Ltd,
Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/

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