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.

	MultiVariateNormalDistributionCholesky ()

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

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

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

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

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

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

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.

Detailed Description

Multivariate normal distribution with zero mean using a cholesky decomposition.

Definition at line 129 of file MultiVariateNormalDistribution.h.

Constructor & Destructor Documentation

◆ MultiVariateNormalDistributionCholesky() [1/2]

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

inline

Constructor.

Parameters

[in] covariance Covariance matrix.

Definition at line 140 of file MultiVariateNormalDistribution.h.

References shark::covariance(), and 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(), and size().

Referenced by shark::CMAIndividual< FitnessType >::mutate(), and operator()().

◆ 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.

Referenced by shark::CMSA::eigenValues().

◆ 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.

Parameters

[in] rng Random number generator.

Definition at line 198 of file MultiVariateNormalDistribution.h.

References generate().

◆ rankOneUpdate()

void shark::MultiVariateNormalDistributionCholesky::rankOneUpdate	(	double	alpha,
		double	beta,
		RealVector const &	v
	)

inline

Updates the covariance matrix of the distribution to C<- alpha*C+beta * vv^T.

Definition at line 177 of file MultiVariateNormalDistribution.h.

◆ resize()

void shark::MultiVariateNormalDistributionCholesky::resize ( std::size_t size )

inline

Resizes the distribution. Updates both eigenvectors and eigenvalues.

Parameters

[in] size The new size of the distribution

Definition at line 156 of file MultiVariateNormalDistribution.h.

References size().

Referenced by shark::CMAChromosome::CMAChromosome().

◆ serialize()

template<typename Archive >

void shark::MultiVariateNormalDistributionCholesky::serialize	(	Archive &	ar,
		const std::size_t	version
	)

inline

Stores/Restores the distribution from the supplied archive.

Parameters

[in,out]	ar	Archive to read from/write to.
[in]	version	Currently unused.

Definition at line 150 of file MultiVariateNormalDistribution.h.

◆ setCovarianceMatrix()

void shark::MultiVariateNormalDistributionCholesky::setCovarianceMatrix ( RealMatrix const & matrix )

inline

Sets the new covariance matrix by computing the new cholesky dcomposition.

Definition at line 172 of file MultiVariateNormalDistribution.h.

Referenced by MultiVariateNormalDistributionCholesky(), and shark::NormalDistributedPoints::NormalDistributedPoints().

◆ size()

std::size_t shark::MultiVariateNormalDistributionCholesky::size ( ) const

inline

Returns the size of the created vectors.

Definition at line 161 of file MultiVariateNormalDistribution.h.

Referenced by generate(), and resize().

The documentation for this class was generated from the following file:

include/shark/Statistics/Distributions/MultiVariateNormalDistribution.h

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ MultiVariateNormalDistributionCholesky() [1/2]

◆ MultiVariateNormalDistributionCholesky() [2/2]

Member Function Documentation

◆ generate()

◆ lowerCholeskyFactor()

◆ operator()()

◆ rankOneUpdate()

◆ resize()

◆ serialize()

◆ setCovarianceMatrix()

◆ size()