rand-test.c

/* RAND-TEST.C - Program to test random number generators. */

/* Copyright (c) 1995-2012 by Radford M. Neal.
 *
 * Permission is granted for anyone to copy, use, modify, and distribute
 * these programs and accompanying documents for any purpose, provided
 * this copyright notice is retained and prominently displayed, and note
 * is made of any changes made to these programs.  These programs and
 * documents are distributed without any warranty, express or implied.
 * As the programs were written for research purposes only, they have not
 * been tested to the degree that would be advisable in any important
 * application.  All use of these programs is entirely at the user's own
 * risk.
 */


/* Usage:

     rand-test seed generator { parameters } / sample-size [ low high bins ]

Using the seed given, tests the random number generator identified by
the second argument, for the parameter values specified.  The possible
generators and required parameters are as follows:

    uniform                  Uniform from [0,1)
    uniopen                  Uniform from (0,1)
    int n                    Uniform from the set { 0, 1, ..., (n-1) }
    gaussian                 From Gaussian with mean zero and unit variance
    exp                      From exponential with mean one
    cauchy                   From Cauchy centred at zero with unit width
    gamma alpha              From Gamma with shape parameter (and mean) alpha
    beta a b                 From Beta with parameters a and b

The size of the sample to use is also specified.  The program reports
the mean and variance of the sample.  A histogram is also printed if a
low and high range and number of bins are for it are specified.

These tests are not really adequate to detect subtle forms of bias due
to use of pseudo-random numbers, but are hopefully good enough to find
most programming errors. 

*/

#include <stdlib.h>
#include <stdio.h>
#include <string.h>
#include <math.h>

#include "rand.h"


#define Max_bins 1000		/* Maximum number of histogram bins */

static void usage (void);


/* MAIN PROGRAM. */

main
( int argc,
  char **argv
)
{
  int seed, sample_size, bins, np;
  double low, high;
  char *generator;
  double p1, p2;

  double mean, variance;
  double tmean, tvariance;
  int undef_mean, undef_variance;

  int count[Max_bins];
  int under, over;

  char **ap;
  double x;
  int i, n;

  bins = 0;

  if (argc<5) usage();

  if ((seed = atoi(argv[1]))==0 && strcmp(argv[1],"0")!=0) usage();

  generator = argv[2];

  if      (strcmp(generator,"uniform")==0)  np = 0;
  else if (strcmp(generator,"uniopen")==0)  np = 0;
  else if (strcmp(generator,"int")==0)      np = 1;
  else if (strcmp(generator,"poisson")==0)  np = 1;
  else if (strcmp(generator,"gaussian")==0) np = 0;
  else if (strcmp(generator,"exp")==0)      np = 0;
  else if (strcmp(generator,"cauchy")==0)   np = 0;
  else if (strcmp(generator,"gamma")==0)    np = 1;
  else if (strcmp(generator,"beta")==0)     np = 2;
  else
  { fprintf(stderr,"Unknown generator: %s\n",generator);
    exit(1);
  }

  ap = argv+3;

  if (np>0) 
  { if (*ap==0 || (p1 = atof(*ap++))<=0) usage();
  }
  if (np>1) 
  { if (*ap==0 || (p2 = atof(*ap++))<=0) usage();
  }

  if (*ap==0 || strcmp(*ap++,"/")!=0) usage();

  if (*ap==0 || (sample_size = atoi(*ap++))<=0) usage();

  if (*ap!=0)
  { low = atof(*ap++);
    if (*ap==0) usage();
    high = atof(*ap++);
    if (high<=low) usage();
    if (*ap==0 || (bins = atoi(*ap++))<=0) usage();
    if (bins>Max_bins) 
    { fprintf(stderr,"Too many histogram bins\n");
      exit(1);
    }
  }

  if (*ap!=0) usage();

  printf("\nTest of %s(",generator);
  if (np>0) printf("%.4f",p1);
  if (np>1) printf(",%.4f",p2);
  printf(") generator using sample of size %d with seed %d\n\n",
   sample_size, seed);

  undef_mean = undef_variance = 0;

  if (strcmp(generator,"uniform")==0)  
  { tmean = 0.5;
    tvariance = 1.0/12.0;
  }
  else if (strcmp(generator,"uniopen")==0)  
  { tmean = 0.5;
    tvariance = 1.0/12.0;
  }
  else if (strcmp(generator,"int")==0)      
  { tmean = (p1-1)/2;
    tvariance = p1*p1/3.0 - p1/2.0 + 1/6.0 - tmean*tmean;
  }
  else if (strcmp(generator,"poisson")==0) 
  { tmean = p1;
    tvariance = p1;
  }
  else if (strcmp(generator,"gaussian")==0) 
  { tmean = 0;
    tvariance = 1;
  }
  else if (strcmp(generator,"exp")==0) 
  { tmean = 1;
    tvariance = 1;
  }
  else if (strcmp(generator,"cauchy")==0)
  { undef_mean = 1;
    undef_variance = 1;
  }
  else if (strcmp(generator,"gamma")==0)
  { tmean = p1;
    tvariance = p1;
  }
  else if (strcmp(generator,"beta")==0)     
  { tmean = p1 / (p1+p2);
    tvariance = (p1*p2) / ((p1+p2)*(p1+p2)*(p1+p2+1));
  }
  else 
  { abort();
  }

  mean = 0;
  variance = 0;

  if (bins>0)
  { for (i = 0; i<bins; i++) count[i] = 0;
    under = over = 0;
  }

  rand_seed(seed);

  for (n = 0; n<sample_size; n++)
  {
    if      (strcmp(generator,"uniform")==0)  x = rand_uniform();
    else if (strcmp(generator,"uniopen")==0)  x = rand_uniopen();
    else if (strcmp(generator,"int")==0)      x = rand_int((int)p1);
    else if (strcmp(generator,"poisson")==0)  x = rand_poisson(p1);
    else if (strcmp(generator,"gaussian")==0) x = rand_gaussian();
    else if (strcmp(generator,"exp")==0)      x = rand_exp();
    else if (strcmp(generator,"cauchy")==0)   x = rand_cauchy();
    else if (strcmp(generator,"gamma")==0)    x = rand_gamma(p1);
    else if (strcmp(generator,"beta")==0)     x = rand_beta(p1,p2);
    else abort();

    mean += x;
    variance += x*x;

    if (bins>0)
    { if (x<low) 
      { under += 1;
      }
      else
      { i = (int) ((x-low)/((high-low)/bins));
        if (i>=bins) 
        { over += 1;
        }
        else 
        { count[i] += 1;
        }
      }
    }
  }

  mean /= sample_size;
  variance /= sample_size;
  variance -= mean*mean;

  printf("Sample mean:     %.4f",mean);
  if (undef_mean)
  { printf(" (true value: undefined)\n");
  }
  else
  { printf(" (true value: %.4f)\n",tmean);
  }

  printf("Sample variance: %.4f",variance);
  if (undef_variance)
  { printf(" (true value: undefined)\n");
  }
  else
  { printf(" (true value: %.4f)\n",tvariance);
  }
  printf("\n");

  if (bins!=0)
  { printf("Histogram:\n");
    printf("                    under : %8d  %.5f\n\n", 
      under, (double)under / sample_size);
    for (i = 0; i<bins; i++)
    { printf("  %10.4f - %10.4f : %8d  %.5f\n", 
        i*(high-low)/bins + low, (i+1)*(high-low)/bins + low, 
        count[i], (double)count[i] / sample_size);
    }
    printf("\n                     over : %8d  %.5f\n", 
      over, (double)over / sample_size);
    printf("\n");
  }  

  exit(0);
}


/* PRINT USAGE MESSAGE AND EXIT. */

static void usage (void)
{
  fprintf(stderr,
   "Usage: rand-test seed generator { parameters } / sample-size [ low high bins ]\n");

  exit(1);
}