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Use random walk to get continuous random value

/ Published in: C++
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  1. class ContinuousRand {
  2.   public:
  3.     double alpha, x;
  4.     boost::mt19937 gen;
  5.     boost::uniform_smallint<> dst;
  6.     boost::variate_generator<
  7.       boost::mt19937,boost::uniform_smallint<> > rand;
  8.     ContinuousRand(double _alpha): alpha(_alpha), x(0),
  9.       gen( static_cast<unsigned long>(std::time(0)) ), dst(0,1),
  10.       rand( gen, dst )
  11.     {}
  12.     double operator()(){
  13.       x += (static_cast<double>(rand())-0.5)*2.0;
  14.       x *= 1.0 - 1.0/alpha;
  15.       return x/sqrt(alpha);
  16.     }
  17.   };

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