Add fast-path to rtnorm

R/utils.R

@@ -126,6 +126,69 @@ qtnorm <- function(p, mean=0, sd=1, lower=-Inf, upper=Inf, lower.tail=TRUE, log.
 rtnorm <- function (n, mean = 0, sd = 1, lower = -Inf, upper = Inf) {
     if (length(n) > 1)
         n <- length(n)
+    # Fast-path for frequent case.
+    if (length(mean) == 1L && length(sd) == 1L && length(lower) == 1L && length(upper) == 1L) {
+      lower <- (lower - mean) / sd ## Algorithm works on mean 0, sd 1 scale
+      upper <- (upper - mean) / sd
+      nas <- is.na(mean) | is.na(sd) | is.na(lower) | is.na(upper)
+      if (any(nas)) warning("NAs produced")
+      alg <- if ((lower > upper) && nas) -1L # return NaN
+      else if ((lower < 0 && upper == Inf) ||
+               (lower == -Inf && upper > 0) ||
+               (is.finite(lower) && is.finite(upper) && (lower < 0) && (upper > 0) && (upper - lower > sqrt(2*pi))))
+        0L # standard "simulate from normal and reject if outside limits" method. Use if bounds are wide.
+      else if (lower >= 0 && (upper > lower + 2*sqrt(exp(1)) /
+                              (lower + sqrt(lower^2 + 4)) * exp((lower*2 - lower*sqrt(lower^2 + 4)) / 4)))
+        1L # rejection sampling with exponential proposal. Use if lower >> mean
+      else if (upper <= 0 && (-lower > -upper + 2*sqrt(exp(1)) /
+                              (-upper + sqrt(upper^2 + 4)) * exp((upper*2 - -upper*sqrt(upper^2 + 4)) / 4)))
+        2L # rejection sampling with exponential proposal. Use if upper << mean.
+      else 3L # rejection sampling with uniform proposal. Use if bounds are narrow and central.
+
+      ret <- rep_len(NaN, n)
+      if (alg == -1L) {
+        return(ret)
+      } else if (alg == 0L) {
+        ind.no <- seq_len(n)
+        while (length(ind.no) > 0) {
+          y <- rnorm(length(ind.no))
+          done <- which(y >= lower & y <= upper)
+          ret[ind.no[done]] <- y[done]
+          ind.no <- setdiff(ind.no, ind.no[done])
+        }
+      } else if (alg == 1L) {
+        ind.expl <- seq_len(n)
+        a <- (lower + sqrt(lower^2 + 4)) / 2
+        while (length(ind.expl) > 0) {
+          z <- rexp(length(ind.expl), a) + lower
+          u <- runif(length(ind.expl))
+          done <- which((u <= exp(-(z - a)^2 / 2)) & (z <= upper))
+          ret[ind.expl[done]] <- z[done]
+          ind.expl <- setdiff(ind.expl, ind.expl[done])
+        }
+      } else if (alg == 2L) {
+        ind.expu <- seq_len(n)
+        a <- (-upper + sqrt(upper^2 +4)) / 2
+        while (length(ind.expu) > 0) {
+          z <- rexp(length(ind.expu), a) - upper
+          u <- runif(length(ind.expu))
+          done <- which((u <= exp(-(z - a)^2 / 2)) & (z <= -lower))
+          ret[ind.expu[done]] <- -z[done]
+          ind.expu <- setdiff(ind.expu, ind.expu[done])
+        }
+      } else {
+        ind.u <- seq_len(n)
+        K <- if (lower > 0) lower^2 else if (upper < 0) upper^2 else 0
+        while (length(ind.u) > 0) {
+          z <- runif(length(ind.u), lower, upper)
+          rho <- exp((K - z^2) / 2)
+          u <- runif(length(ind.u))
+          done <- which(u <= rho)
+          ret[ind.u[done]] <- z[done]
+          ind.u <- setdiff(ind.u, ind.u[done])
+        }
+      }
+    } else {
     mean <- rep(mean, length=n)
     sd <- rep(sd, length=n)
     lower <- rep(lower, length=n)
@@ -194,6 +257,7 @@ rtnorm <- function (n, mean = 0, sd = 1, lower = -Inf, upper = Inf) {
         ind.u <- setdiff(ind.u, ind.u[done])
     }
     stopifnot(length(ind.u) == 0)
+    }
     ret*sd + mean
 }