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java.lang.Objectorg.apache.mahout.math.random.MultiNormal
public class MultiNormal
Samples from a multi-variate normal distribution.
This is done by sampling from several independent unit normal distributions to get a vector u. The sample value that is returned is then A u + m where A is derived from the covariance matrix and m is the mean of the result. If \Sigma is the desired covariance matrix, then you can use any value of A such that A' A = \Sigma. The Cholesky decomposition can be used to compute A if \Sigma is positive definite. Slightly more expensive is to use the SVD U S V' = \Sigma and then set A = U \sqrt{S}. Useful special cases occur when \Sigma is diagonal so that A = \sqrt(\Sigma) or where \Sigma = r I. Another special case is where m = 0.
Constructor Summary | |
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MultiNormal(double radius,
Vector mean)
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MultiNormal(int dimension)
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MultiNormal(Matrix a,
Vector mean)
Constructs a sampler with non-trivial scale matrix and mean. |
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MultiNormal(Vector diagonal)
Constructs a sampler with diagonal scale matrix. |
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MultiNormal(Vector diagonal,
Vector mean)
Constructs a sampler with diagonal scale matrix and (potentially) non-zero mean. |
Method Summary | |
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Vector |
getScale()
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Vector |
sample()
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Methods inherited from class java.lang.Object |
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public MultiNormal(Vector diagonal)
diagonal
- The diagonal elements of the scale matrix.public MultiNormal(Vector diagonal, Vector mean)
diagonal
- The scale matrix's principal diagonal.mean
- The desired mean. Set to null if zero mean is desired.public MultiNormal(Matrix a, Vector mean)
public MultiNormal(int dimension)
public MultiNormal(double radius, Vector mean)
Method Detail |
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public Vector sample()
sample
in interface Sampler<Vector>
public Vector getScale()
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