rpg: Polya-Gamma Random Variates using a GPU

In bayesCL: Bayesian Inference on a GPU using OpenCL

Description

Generate random variates from the Polya-Gamma distribution on a GPU.

Usage

rpg(num=1, n=1, z=0.0, batch=32, local=128, staticseed=FALSE,
seed=0, float=0, ptr=NULL, device=0)

Arguments

num	the number of random variates to simulate.
n	shape parameter, a positive integer.
z	parameter associated with tilting.
batch	the number of samples created by each GPU thread
local	the number of threads in a thread-block on a GPU
staticseed	parameter to determine whether to use a static seed or not.
seed	the value of the static seed, if used.
float	parameter to determine whether to use single-precision floating point or double-precision floating point.
ptr	an external pointer to the C structure with the GPU helper variables.
device	if no external pointer is provided to function, we can provide the ID of the device to use.

Details

A random variable X with distribution PG(n,z) is distributed like

X \sim ∑_{k=1}^∞ G(n,1) / ( 2 π^2 (k-1/2)^2 + z^2/2).

The density for X may be derived by exponentially tilting the PG(n,0) density:

p(x|n,z) \propto \exp(-x z^2/2) p(x|n,0).

The GPU implementation is derived from the CPU implementation rpg.devroye from package BayesLogit.

Value

This function returns num Polya-Gamma samples.

See Also

prepare,mlr

Examples

random_variates <- rpg(num=100, n=1, z=0.0, device=0)

bayesCL documentation built on May 2, 2019, 3:43 p.m.