Fix NaN issue in box-muller tranform

VowpalWabbit · Apr 9, 2019 · 2db9a64 · 2db9a64
1 parent 6ef7676
commit 2db9a64
Showing 1 changed file with 9 additions and 0 deletions.
diff --git a/vowpalwabbit/OjaNewton.cc b/vowpalwabbit/OjaNewton.cc
@@ -81,6 +81,15 @@ struct OjaNewton
         {
           float r1 = merand48(all->random_state);
           float r2 = merand48(all->random_state);
+
+          //in the box-muller tranform, r1 should be strictly positive: https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
+          //redraw until r1 > 0
+          while (r1 == 0.0f)
+          {
+            r1 = merand48(all->random_state);
+            r2 = merand48(all->random_state);
+          }
+
           (&w)[j] = sqrt(-2.f * log(r1)) * (float)cos(PI2 * r2);
         }
       }