Multivariate normal distribution with zero mean using a cholesky decomposition. More...

#include <shark/Statistics/Distributions/MultiVariateNormalDistribution.h>

Public Member Functions
	MultiVariateNormalDistributionCholesky (RealMatrix const &covariance)
	Constructor. More...

	MultiVariateNormalDistributionCholesky ()

template<typename Archive >
void	serialize (Archive &ar, const std::size_t version)
	Stores/Restores the distribution from the supplied archive. More...

void	resize (std::size_t size)
	Resizes the distribution. Updates both eigenvectors and eigenvalues. More...

std::size_t	size () const
	Returns the size of the created vectors. More...

blas::matrix< double, blas::column_major > const &	lowerCholeskyFactor () const
	Returns the matrix holding the lower cholesky factor A. More...

void	setCovarianceMatrix (RealMatrix const &matrix)
	Sets the new covariance matrix by computing the new cholesky dcomposition. More...

void	rankOneUpdate (double alpha, double beta, RealVector const &v)
	Updates the covariance matrix of the distribution to C<- alphaC+beta vv^T. More...

template<class randomType , class Vector1 , class Vector2 >
void	generate (randomType &rng, Vector1 &y, Vector2 &z) const

template<class randomType >
result_type	operator() (randomType &rng) const
	Samples the distribution. More...

Detailed Description

Multivariate normal distribution with zero mean using a cholesky decomposition.

Definition at line 128 of file MultiVariateNormalDistribution.h.

Constructor & Destructor Documentation

◆ MultiVariateNormalDistributionCholesky() [1/2]

shark::MultiVariateNormalDistributionCholesky::MultiVariateNormalDistributionCholesky ( RealMatrix const & covariance )

inline

Constructor.

Parameters

[in]	rng	the random number generator
[in]	covariance	covariance matrix

Definition at line 140 of file MultiVariateNormalDistribution.h.

References shark::MultiVariateNormalDistribution::setCovarianceMatrix().

◆ MultiVariateNormalDistributionCholesky() [2/2]

shark::MultiVariateNormalDistributionCholesky::MultiVariateNormalDistributionCholesky ( )

inline

Definition at line 144 of file MultiVariateNormalDistribution.h.

Member Function Documentation

◆ generate()

template<class randomType , class Vector1 , class Vector2 >

void shark::MultiVariateNormalDistributionCholesky::generate	(	randomType &	rng,
		Vector1 &	y,
		Vector2 &	z
	)		const

inline

Definition at line 182 of file MultiVariateNormalDistribution.h.

References shark::random::gauss().

Referenced by shark::CMAIndividual< double >::mutate().

◆ lowerCholeskyFactor()

blas::matrix<double,blas::column_major> const& shark::MultiVariateNormalDistributionCholesky::lowerCholeskyFactor ( ) const

inline

Returns the matrix holding the lower cholesky factor A.

Definition at line 166 of file MultiVariateNormalDistribution.h.

◆ operator()()

template<class randomType >

result_type shark::MultiVariateNormalDistributionCholesky::operator() ( randomType & rng ) const

inline

Samples the distribution.

Returns a vector pair (y,z) where y=Lz and, L is the lower cholesky factor and z is a vector of normally distributed numbers. Thus y is the real sampled point.

Definition at line 196 of file MultiVariateNormalDistribution.h.