mirror of
https://github.com/aportelli/LatAnalyze.git
synced 2024-11-10 08:55:37 +00:00
57 lines
1.7 KiB
C++
57 lines
1.7 KiB
C++
/*
|
|
* 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_;
|
|
}
|