From 2f6d1607c84bd828e77a44465e0dccfd3524d7a6 Mon Sep 17 00:00:00 2001
From: Benoit Steiner <benoit.steiner.goog@gmail.com>
Date: Tue, 4 Oct 2016 08:38:23 -0700
Subject: Cleaned up the random number generation code.

---
 unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h | 276 ++++++++++++++++++++++
 1 file changed, 276 insertions(+)
 create mode 100644 unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h

(limited to 'unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h')

diff --git a/unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h b/unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h
new file mode 100644
index 000000000..9b16e68f5
--- /dev/null
+++ b/unsupported/Eigen/CXX11/src/Tensor/TensorRandom.h
@@ -0,0 +1,276 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2016 Benoit Steiner <benoit.steiner.goog@gmail.com>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_CXX11_TENSOR_TENSOR_RANDOM_H
+#define EIGEN_CXX11_TENSOR_TENSOR_RANDOM_H
+
+namespace Eigen {
+namespace internal {
+
+namespace {
+
+EIGEN_DEVICE_FUNC uint64_t get_random_seed() {
+#ifdef __CUDA_ARCH__
+  // We don't support 3d kernels since we currently only use 1 and
+  // 2d kernels.
+  assert(threadIdx.z == 0);
+  return clock64() +
+      blockIdx.x * blockDim.x + threadIdx.x +
+      gridDim.x * blockDim.x * (blockIdx.y * blockDim.y + threadIdx.y);
+
+#elif defined _WIN32
+  // Use the current time as a baseline.
+  GetSystemTime(&st);
+  int time = st.wSecond + 1000 * st.wMilliseconds;
+  // Mix in a random number to make sure that we get different seeds if
+  // we try to generate seeds faster than the clock resolution.
+  // We need 2 random values since the generator only generate 16 bits at
+  // a time (https://msdn.microsoft.com/en-us/library/398ax69y.aspx)
+  SYSTEMTIME st;
+  uint rnd1 = ::rand();
+  uint rnd2 = ::rand();
+  uint64_t rnd = (rnd1 | rnd2 << 16) ^ time;
+  return rnd;
+
+#elif defined __APPLE__
+  // Same approach as for win32, except that the random number generator
+  // is better (// https://developer.apple.com/legacy/library/documentation/Darwin/Reference/ManPages/man3/random.3.html#//apple_ref/doc/man/3/random).
+  uint64_t rnd = ::random() ^ mach_absolute_time();
+  return rnd;
+
+#else
+  // Augment the current time with pseudo random number generation
+  // to ensure that we get different seeds if we try to generate seeds
+  // faster than the clock resolution.
+  timespec ts;
+  clock_gettime(CLOCK_REALTIME, &ts);
+  uint64_t rnd = ::random() ^ ts.tv_nsec;
+  return rnd;
+#endif
+}
+
+static EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE unsigned PCG_XSH_RS_generator(uint64_t* state) {
+  // TODO: Unify with the implementation in the non blocking thread pool.
+  uint64_t current = *state;
+  // Update the internal state
+  *state = current * 6364136223846793005ULL + 0xda3e39cb94b95bdbULL;
+  // Generate the random output (using the PCG-XSH-RS scheme)
+  return (current ^ (current >> 22)) >> (22 + (current >> 61));
+}
+
+static EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE uint64_t PCG_XSH_RS_state(uint64_t seed) {
+  seed = seed ? seed : get_random_seed();
+  return seed * 6364136223846793005ULL + 0xda3e39cb94b95bdbULL;
+}
+
+}  // namespace
+
+
+template <typename T> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+T RandomToTypeUniform(uint64_t* state) {
+  unsigned rnd = PCG_XSH_RS_generator(state);
+  return static_cast<T>(rnd);
+}
+
+
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+Eigen::half RandomToTypeUniform<Eigen::half>(uint64_t* state) {
+  Eigen::half result;
+  // Generate 10 random bits for the mantissa
+  unsigned rnd = PCG_XSH_RS_generator(state);
+  result.x = static_cast<uint16_t>(rnd & 0x3ffu);
+  // Set the exponent
+  result.x |= (static_cast<uint16_t>(15) << 10);
+  // Return the final result
+  return result - Eigen::half(1.0f);
+}
+
+
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+float RandomToTypeUniform<float>(uint64_t* state) {
+  typedef union {
+    uint32_t raw;
+    float fp;
+  } internal;
+  internal result;
+  // Generate 23 random bits for the mantissa mantissa
+  const unsigned rnd = PCG_XSH_RS_generator(state);
+  result.raw = rnd & 0x7fffffu;
+  // Set the exponent
+  result.raw |= (static_cast<uint32_t>(127) << 23);
+  // Return the final result
+  return result.fp - 1.0f;
+}
+
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+double RandomToTypeUniform<double>(uint64_t* state) {
+  typedef union {
+    uint64_t raw;
+    double dp;
+  } internal;
+  internal result;
+  result.raw = 0;
+  // Generate 52 random bits for the mantissa
+  // First generate the upper 20 bits
+  unsigned rnd1 = PCG_XSH_RS_generator(state) & 0xfffffu;
+  // The generate the lower 32 bits
+  unsigned rnd2 = PCG_XSH_RS_generator(state);
+  result.raw = (static_cast<uint64_t>(rnd1) << 32) | rnd2;
+  // Set the exponent
+  result.raw |= (static_cast<uint64_t>(1023) << 52);
+  // Return the final result
+  return result.dp - 1.0;
+}
+
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+std::complex<float> RandomToTypeUniform<std::complex<float> >(uint64_t* state) {
+  return std::complex<float>(RandomToTypeUniform<float>(state),
+                             RandomToTypeUniform<float>(state));
+}
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+std::complex<double> RandomToTypeUniform<std::complex<double> >(uint64_t* state) {
+  return std::complex<double>(RandomToTypeUniform<double>(state),
+                              RandomToTypeUniform<double>(state));
+}
+
+template <typename T> class UniformRandomGenerator {
+ public:
+  static const bool PacketAccess = true;
+
+  // Uses the given "seed" if non-zero, otherwise uses a random seed.
+  EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE UniformRandomGenerator(
+      uint64_t seed = 0) {
+    m_state = PCG_XSH_RS_state(seed);
+  }
+  EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE UniformRandomGenerator(
+      const UniformRandomGenerator& other) {
+    m_state = other.m_state;
+  }
+
+  template<typename Index> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+  T operator()(Index i) const {
+    uint64_t local_state = m_state + i;
+    T result = RandomToTypeUniform<T>(&local_state);
+    m_state = local_state;
+    return result;
+  }
+
+  template<typename Packet, typename Index> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+  Packet packetOp(Index i) const {
+    const int packetSize = internal::unpacket_traits<Packet>::size;
+    EIGEN_ALIGN_MAX T values[packetSize];
+    uint64_t local_state = m_state + i;
+    for (int j = 0; j < packetSize; ++j) {
+      values[j] = RandomToTypeUniform<T>(&local_state);
+    }
+    m_state = local_state;
+    return internal::pload<Packet>(values);
+  }
+
+ private:
+  mutable uint64_t m_state;
+};
+
+template <typename Scalar>
+struct functor_traits<UniformRandomGenerator<Scalar> > {
+  enum {
+    // Rough estimate for floating point, multiplied by ceil(sizeof(T) / sizeof(float)).
+    Cost = 12 * NumTraits<Scalar>::AddCost *
+           ((sizeof(Scalar) + sizeof(float) - 1) / sizeof(float)),
+    PacketAccess = UniformRandomGenerator<Scalar>::PacketAccess
+  };
+};
+
+
+
+template <typename T> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+T RandomToTypeNormal(uint64_t* state) {
+  // Use the ratio of uniform method to generate numbers following a normal
+  // distribution. See for example Numerical Recipes chapter 7.3.9 for the
+  // details.
+  T u, v, q;
+  do {
+    u = RandomToTypeUniform<T>(state);
+    v = T(1.7156) * (RandomToTypeUniform<T>(state) - T(0.5));
+    const T x = u - T(0.449871);
+    const T y = numext::abs(v) + T(0.386595);
+    q = x*x + y * (T(0.196)*y - T(0.25472)*x);
+  } while (q > T(0.27597) &&
+           (q > T(0.27846) || v*v > T(-4) * numext::log(u) * u*u));
+
+  return v/u;
+}
+
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+std::complex<float> RandomToTypeNormal<std::complex<float> >(uint64_t* state) {
+  return std::complex<float>(RandomToTypeNormal<float>(state),
+                             RandomToTypeNormal<float>(state));
+}
+template <> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+std::complex<double> RandomToTypeNormal<std::complex<double> >(uint64_t* state) {
+  return std::complex<double>(RandomToTypeNormal<double>(state),
+                              RandomToTypeNormal<double>(state));
+}
+
+
+template <typename T> class NormalRandomGenerator {
+ public:
+  static const bool PacketAccess = true;
+
+  // Uses the given "seed" if non-zero, otherwise uses a random seed.
+  EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE NormalRandomGenerator(uint64_t seed = 0) {
+    m_state = PCG_XSH_RS_state(seed);
+  }
+  EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE NormalRandomGenerator(
+      const NormalRandomGenerator& other) {
+    m_state = other.m_state;
+  }
+
+ template<typename Index> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+  T operator()(Index i) const {
+    uint64_t local_state = m_state + i;
+    T result = RandomToTypeNormal<T>(&local_state);
+    m_state = local_state;
+    return result;
+  }
+
+  template<typename Packet, typename Index> EIGEN_DEVICE_FUNC EIGEN_STRONG_INLINE
+  Packet packetOp(Index i) const {
+    const int packetSize = internal::unpacket_traits<Packet>::size;
+    EIGEN_ALIGN_MAX T values[packetSize];
+    uint64_t local_state = m_state + i;
+    for (int j = 0; j < packetSize; ++j) {
+      values[j] = RandomToTypeNormal<T>(&local_state);
+    }
+    m_state = local_state;
+    return internal::pload<Packet>(values);
+  }
+
+ private:
+  mutable uint64_t m_state;
+};
+
+
+template <typename Scalar>
+struct functor_traits<NormalRandomGenerator<Scalar> > {
+  enum {
+    // On average, we need to generate about 3 random numbers
+    // 15 mul, 8 add, 1.5 logs
+    Cost = 3 * functor_traits<UniformRandomGenerator<Scalar> >::Cost +
+           15 * NumTraits<Scalar>::AddCost + 8 * NumTraits<Scalar>::AddCost +
+           3 * functor_traits<scalar_log_op<Scalar> >::Cost / 2,
+    PacketAccess = NormalRandomGenerator<Scalar>::PacketAccess
+  };
+};
+
+
+} // end namespace internal
+} // end namespace Eigen
+
+#endif // EIGEN_CXX11_TENSOR_TENSOR_RANDOM_H
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