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Is there an optimized function in any numerical library (MKL, Boost, GSL,..etc) that searches a sorted array of floating point numbers for the closest match to a given float?
Another function which will solve the same problem for me will generate a random sample from a custom discrete probability distribution.
Wrapping comments (of me & @betabandido) into an answer:
You basically need to find 2 candidates, the closest “upper” element, and the closest “lower” element (assuming the element is not in the list). This can be achieved using Binary Search efficiently (
O(logN))By using std::lower_bound() you can get the higher element, and the lower is the element before it in the array.
Compare the two candidates – the one which is closest to the given float is your answer.