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#############################################################################
# Copyright (c) 2012 Christophe Dutang
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the
# Free Software Foundation, Inc.,
# 59 Temple Place, Suite 330, Boston, MA 02111-1307, USA
#
#############################################################################
### utility functions for rejection algorithm in GNE
###
### R functions
###
#rejection algorithm with different distributions
rejection <- function(constr, nvars, LB=0, UB=1, ..., echo=FALSE,
method=c("unif","norm", "normcap"), control=list())
{
#default control parameters
con <- list(mean=(LB + UB)/2, sd=-(UB-LB) /4 /qnorm(0.025))
namc <- names(con)
con[namc <- names(control)] <- control
#adjust the lentgh of lower/upper bounds
LB <- rep(LB, length=nvars)
method <- match.arg(method, c("unif","norm","normcap"))
if(method == "unif")
{
#draw
x <- runif(nvars, LB, UB)
#until all constraints are satisfied
while( any( constr(x, ...) >= 0 ) )
{
if(echo) print(x)
x <- runif(nvars, LB, UB)
}
return(x)
}
if(method == "norm")
{
#draw
x <- rnorm(nvars, mean=con$mean, sd=con$sd)
#until all constraints are satisfied
while( any( constr(x, ...) >= 0 ) )
{
if(echo) print(x)
x <- rnorm(nvars, mean=con$mean, sd=con$sd)
}
return(x)
}
if(method == "normcap")
{
#draw
x <- rnorm(nvars, mean=con$mean, sd=con$sd)
#until all constraints are satisfied
while( any( constr(x, ...) >= 0 ) || sum( (UB-x)^2 ) <= 1)
{
if(echo) print(x)
x <- rnorm(nvars, mean=con$mean, sd=con$sd)
}
return(x)
}
stop("wrong method for rejection algo.")
}
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