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FIX: mkl_random.noncentral_chisquare when df==1 #17

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Merged
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Feb 9, 2021
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FIX: mkl_random.noncentral_chisquare when df==1 #17

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19 changes: 4 additions & 15 deletions mkl_random/src/mkl_distributions.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -659,25 +659,14 @@ irk_noncentral_chisquare_vec(irk_state *state, npy_intp len, double *res, const

mkl_free(pvec);
} else {
float *fuvec = NULL;

/* noncentral_chisquare(1, nonc) ~ sqrt(nonc)*(-1)^[U<0.5] + Z */
err = vdRngGaussian(VSL_RNG_METHOD_GAUSSIAN_ICDF, state->stream, len, res, d_zero, d_one);
/* noncentral_chisquare(1, nonc) ~ (Z + sqrt(nonc))**2 for df == 1 */
loc = sqrt(nonc);

fuvec = (float *) mkl_malloc(len*sizeof(float), 64);
assert(fuvec != NULL);

err = vsRngUniform(VSL_RNG_METHOD_UNIFORM_STD, state->stream, len, fuvec, (const float) d_zero, (const float) d_one);
err = vdRngGaussian(VSL_RNG_METHOD_GAUSSIAN_ICDF, state->stream, len, res, loc, d_one);
assert(err == VSL_STATUS_OK);

#pragma ivdep
for(i=0; i<len; i++) res[i] += (fuvec[i] < 0.5) ? -loc : loc;

mkl_free(fuvec);
/* squaring could result in an overflow */
vmdSqr(len, res, res, VML_HA);
}
}

}

void
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