gumbel_rng.hpp

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#ifndef STAN_MATH_PRIM_PROB_GUMBEL_RNG_HPP
#define STAN_MATH_PRIM_PROB_GUMBEL_RNG_HPP
 
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/scalar_seq_view.hpp>
#include <stan/math/prim/fun/max_size.hpp>
#include <stan/math/prim/fun/size_zero.hpp>
#include <boost/random/uniform_01.hpp>
#include <boost/random/variate_generator.hpp>
#include <cmath>
 
namespace stan {
namespace math {
 
template <typename T_loc, typename T_scale, class RNG>
inline typename VectorBuilder<true, double, T_loc, T_scale>::type gumbel_rng(
    const T_loc& mu, const T_scale& beta, RNG& rng) {
  using boost::uniform_01;
  using boost::variate_generator;
  using T_mu_ref = ref_type_t<T_loc>;
  using T_beta_ref = ref_type_t<T_scale>;
  static constexpr const char* function = "gumbel_rng";
  check_consistent_sizes(function, "Location parameter", mu, "Scale Parameter",
                         beta);
  if (size_zero(mu, beta)) {
    return {};
  }
  T_mu_ref mu_ref = mu;
  T_beta_ref beta_ref = beta;
  check_finite(function, "Location parameter", mu_ref);
  check_positive_finite(function, "Scale parameter", beta_ref);
 
  scalar_seq_view<T_mu_ref> mu_vec(mu_ref);
  scalar_seq_view<T_beta_ref> beta_vec(beta_ref);
  size_t N = max_size(mu, beta);
  VectorBuilder<true, double, T_loc, T_scale> output(N);
 
  variate_generator<RNG&, uniform_01<> > uniform01_rng(rng, uniform_01<>());
  for (size_t n = 0; n < N; ++n) {
    output[n] = mu_vec[n] - beta_vec[n] * std::log(-std::log(uniform01_rng()));
  }
 
  return output.data();
}
 
}  // namespace math
}  // namespace stan
#endif