[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: [Bug-gsl] Levï¿½ random number generator
Re: [Bug-gsl] Levý random number generator
Tue, 27 Mar 2007 10:55:54 +0100
Wanderlust/2.14.0 (Africa) Emacs/21.3 Mule/5.0 (SAKAKI)
At Mon, 26 Mar 2007 19:48:01 -0300,
> The Levï¿½ skew random number generator (gsl_ran_levy_skew) does not
> procuce a Levï¿½ 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
> Levï¿½'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.
Network Theory Ltd,
Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/