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Diffstat (limited to 'src/armadillo/include/armadillo_bits/glue_mvnrnd_meat.hpp')
-rw-r--r-- | src/armadillo/include/armadillo_bits/glue_mvnrnd_meat.hpp | 175 |
1 files changed, 175 insertions, 0 deletions
diff --git a/src/armadillo/include/armadillo_bits/glue_mvnrnd_meat.hpp b/src/armadillo/include/armadillo_bits/glue_mvnrnd_meat.hpp new file mode 100644 index 0000000..3c3019f --- /dev/null +++ b/src/armadillo/include/armadillo_bits/glue_mvnrnd_meat.hpp @@ -0,0 +1,175 @@ +// SPDX-License-Identifier: Apache-2.0 +// +// Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au) +// Copyright 2008-2016 National ICT Australia (NICTA) +// +// Licensed under the Apache License, Version 2.0 (the "License"); +// you may not use this file except in compliance with the License. +// You may obtain a copy of the License at +// http://www.apache.org/licenses/LICENSE-2.0 +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------ + + +//! \addtogroup glue_mvnrnd +//! @{ + + +// implementation based on: +// James E. Gentle. +// Generation of Random Numbers. +// Computational Statistics, pp. 305-331, 2009. +// http://dx.doi.org/10.1007/978-0-387-98144-4_7 + + +template<typename T1, typename T2> +inline +void +glue_mvnrnd_vec::apply(Mat<typename T1::elem_type>& out, const Glue<T1,T2,glue_mvnrnd_vec>& expr) + { + arma_extra_debug_sigprint(); + + const bool status = glue_mvnrnd::apply_direct(out, expr.A, expr.B, uword(1)); + + if(status == false) + { + out.soft_reset(); + arma_stop_runtime_error("mvnrnd(): given covariance matrix is not symmetric positive semi-definite"); + } + } + + + +template<typename T1, typename T2> +inline +void +glue_mvnrnd::apply(Mat<typename T1::elem_type>& out, const Glue<T1,T2,glue_mvnrnd>& expr) + { + arma_extra_debug_sigprint(); + + const bool status = glue_mvnrnd::apply_direct(out, expr.A, expr.B, expr.aux_uword); + + if(status == false) + { + out.soft_reset(); + arma_stop_runtime_error("mvnrnd(): given covariance matrix is not symmetric positive semi-definite"); + } + } + + + +template<typename T1, typename T2> +inline +bool +glue_mvnrnd::apply_direct(Mat<typename T1::elem_type>& out, const Base<typename T1::elem_type,T1>& M, const Base<typename T1::elem_type,T2>& C, const uword N) + { + arma_extra_debug_sigprint(); + + typedef typename T1::elem_type eT; + + const quasi_unwrap<T1> UM(M.get_ref()); + const quasi_unwrap<T2> UC(C.get_ref()); + + arma_debug_check( (UM.M.is_colvec() == false) && (UM.M.is_empty() == false), "mvnrnd(): given mean must be a column vector" ); + arma_debug_check( (UC.M.is_square() == false), "mvnrnd(): given covariance matrix must be square sized" ); + arma_debug_check( (UM.M.n_rows != UC.M.n_rows), "mvnrnd(): number of rows in given mean vector and covariance matrix must match" ); + + if( UM.M.is_empty() || UC.M.is_empty() ) + { + out.set_size(0,N); + return true; + } + + if((arma_config::debug) && (auxlib::rudimentary_sym_check(UC.M) == false)) + { + arma_debug_warn_level(1, "mvnrnd(): given matrix is not symmetric"); + } + + bool status = false; + + if(UM.is_alias(out) || UC.is_alias(out)) + { + Mat<eT> tmp; + + status = glue_mvnrnd::apply_noalias(tmp, UM.M, UC.M, N); + + out.steal_mem(tmp); + } + else + { + status = glue_mvnrnd::apply_noalias(out, UM.M, UC.M, N); + } + + return status; + } + + + +template<typename eT> +inline +bool +glue_mvnrnd::apply_noalias(Mat<eT>& out, const Mat<eT>& M, const Mat<eT>& C, const uword N) + { + arma_extra_debug_sigprint(); + + Mat<eT> D; + + const bool chol_status = op_chol::apply_direct(D, C, 1); // '1' means "lower triangular" + + if(chol_status == false) + { + // C is not symmetric positive definite, so find approximate square root of C + + Col<eT> eigval; // NOTE: eT is constrained to be real (ie. float or double) in fn_mvnrnd.hpp + Mat<eT> eigvec; + + const bool eig_status = eig_sym_helper(eigval, eigvec, C, 'd', "mvnrnd()"); + + if(eig_status == false) { return false; } + + eT* eigval_mem = eigval.memptr(); + const uword eigval_n_elem = eigval.n_elem; + + // since we're doing an approximation, tolerate tiny negative eigenvalues + + const eT tol = eT(-100) * Datum<eT>::eps * norm(C, "fro"); + + if(arma_isfinite(tol) == false) { return false; } + + for(uword i=0; i<eigval_n_elem; ++i) + { + const eT val = eigval_mem[i]; + + if( (val < tol) || (arma_isfinite(val) == false) ) { return false; } + } + + for(uword i=0; i<eigval_n_elem; ++i) { if(eigval_mem[i] < eT(0)) { eigval_mem[i] = eT(0); } } + + Mat<eT> DD = eigvec * diagmat(sqrt(eigval)); + + D.steal_mem(DD); + } + + out = D * randn< Mat<eT> >(M.n_rows, N); + + if(N == 1) + { + out += M; + } + else + if(N > 1) + { + out.each_col() += M; + } + + return true; + } + + + +//! @} |