multivariate Gaussian RNG

lib/Statistics/Random.cpp

@@ -0,0 +1,56 @@
+/*
+ * Random.cpp, part of LatAnalyze 3
+ *
+ * Copyright (C) 2013 - 2016 Antonin Portelli
+ *
+ * LatAnalyze 3 is free software: you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation, either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * LatAnalyze 3 is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with LatAnalyze 3.  If not, see <http://www.gnu.org/licenses/>.
+ */
+
+#include <LatAnalyze/Core/Plot.hpp>
+#include <LatAnalyze/includes.hpp>
+#include <LatAnalyze/Statistics/Random.hpp>
+
+using namespace std;
+using namespace Latan;
+
+RandomNormal::RandomNormal(const DVec &mean, const DMat &var, const SeedType seed)
+: mean_(mean), buf_(mean.size()), var_(var), gen_(seed)
+{
+  if (var_.rows() != var_.cols())
+  {
+    LATAN_ERROR(Size, "variance matrix not square");
+  }
+  if (mean_.size() != var_.rows())
+  {
+    LATAN_ERROR(Size, "variance matrix and mean vector size mismatch");
+  }
+  
+  Eigen::SelfAdjointEigenSolver<Eigen::MatrixXd> esolver(var);
+  Eigen::VectorXd                                ev = esolver.eigenvalues();
+
+  ev = ev.unaryExpr([](const double x){return (x > 0.) ? x : 0.;});
+  transform_ = esolver.eigenvectors()*ev.cwiseSqrt().asDiagonal();
+}
+
+DVec RandomNormal::operator()(void)
+{
+  std::normal_distribution<> dist;
+
+  FOR_VEC(buf_, i)
+  {
+    buf_(i) = dist(gen_);
+  }
+
+  return mean_ + transform_*buf_;
+}

lib/Statistics/Random.hpp

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+/*
+ * Random.hpp, part of LatAnalyze 3
+ *
+ * Copyright (C) 2013 - 2019 Antonin Portelli
+ *
+ * LatAnalyze 3 is free software: you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation, either version 3 of the License, or
+ * (at your option) any later version.
+ *
+ * LatAnalyze 3 is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with LatAnalyze 3.  If not, see <http://www.gnu.org/licenses/>.
+ */
+
+#ifndef Latan_Random_hpp_
+#define	Latan_Random_hpp_
+
+#include <LatAnalyze/Global.hpp>
+#include <LatAnalyze/Core/Mat.hpp>
+
+BEGIN_LATAN_NAMESPACE
+
+/******************************************************************************
+ *                         Multivariate Gaussian RNG                          *
+ ******************************************************************************/
+class RandomNormal
+{
+public:
+  // constructors
+  RandomNormal(const DVec &mean, const DMat &var, const SeedType seed);
+  // destructor
+  virtual ~RandomNormal(void) = default;
+  // draw a random vector
+  DVec operator()(void);
+private:
+  DVec           mean_, buf_;
+  DMat           var_;
+  Eigen::MatrixXd transform_;
+  std::mt19937 gen_;
+};
+
+END_LATAN_NAMESPACE
+
+#endif // Latan_Random_hpp_