random_multivariate_normal 0.1.0

checksums.yaml

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data/.github/workflows/ruby.yml

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+name: Ruby
+
+on: [push]
+
+jobs:
+  build:
+
+    runs-on: ubuntu-latest
+
+    steps:
+    - uses: actions/checkout@v1
+    - name: Set up Ruby 2.6
+      uses: actions/setup-ruby@v1
+      with:
+        ruby-version: 2.6.x
+    - name: Build and test with Rake
+      run: |
+        gem install bundler
+        bundle install --jobs 4 --retry 3
+        bundle exec rake

data/.gitignore

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+/.bundle/
+/.yardoc
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/

data/CODE_OF_CONDUCT.md

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+# Contributor Covenant Code of Conduct
+
+## Our Pledge
+
+In the interest of fostering an open and welcoming environment, we as
+contributors and maintainers pledge to making participation in our project and
+our community a harassment-free experience for everyone, regardless of age, body
+size, disability, ethnicity, gender identity and expression, level of experience,
+nationality, personal appearance, race, religion, or sexual identity and
+orientation.
+
+## Our Standards
+
+Examples of behavior that contributes to creating a positive environment
+include:
+
+* Using welcoming and inclusive language
+* Being respectful of differing viewpoints and experiences
+* Gracefully accepting constructive criticism
+* Focusing on what is best for the community
+* Showing empathy towards other community members
+
+Examples of unacceptable behavior by participants include:
+
+* The use of sexualized language or imagery and unwelcome sexual attention or
+advances
+* Trolling, insulting/derogatory comments, and personal or political attacks
+* Public or private harassment
+* Publishing others' private information, such as a physical or electronic
+  address, without explicit permission
+* Other conduct which could reasonably be considered inappropriate in a
+  professional setting
+
+## Our Responsibilities
+
+Project maintainers are responsible for clarifying the standards of acceptable
+behavior and are expected to take appropriate and fair corrective action in
+response to any instances of unacceptable behavior.
+
+Project maintainers have the right and responsibility to remove, edit, or
+reject comments, commits, code, wiki edits, issues, and other contributions
+that are not aligned to this Code of Conduct, or to ban temporarily or
+permanently any contributor for other behaviors that they deem inappropriate,
+threatening, offensive, or harmful.
+
+## Scope
+
+This Code of Conduct applies both within project spaces and in public spaces
+when an individual is representing the project or its community. Examples of
+representing a project or community include using an official project e-mail
+address, posting via an official social media account, or acting as an appointed
+representative at an online or offline event. Representation of a project may be
+further defined and clarified by project maintainers.
+
+## Enforcement
+
+Instances of abusive, harassing, or otherwise unacceptable behavior may be
+reported by contacting the project team at dev.kuro.obi@gmail.com. All
+complaints will be reviewed and investigated and will result in a response that
+is deemed necessary and appropriate to the circumstances. The project team is
+obligated to maintain confidentiality with regard to the reporter of an incident.
+Further details of specific enforcement policies may be posted separately.
+
+Project maintainers who do not follow or enforce the Code of Conduct in good
+faith may face temporary or permanent repercussions as determined by other
+members of the project's leadership.
+
+## Attribution
+
+This Code of Conduct is adapted from the [Contributor Covenant][homepage], version 1.4,
+available at [http://contributor-covenant.org/version/1/4][version]
+
+[homepage]: http://contributor-covenant.org
+[version]: http://contributor-covenant.org/version/1/4/

data/Gemfile

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+source "https://rubygems.org"
+
+git_source(:github) {|repo_name| "https://github.com/#{repo_name}" }
+
+# Specify your gem's dependencies in random_multivariate_normal.gemspec
+gemspec

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2020 monochromegane
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# RandomMultivariateNormal [![Actions Status](https://github.com/monochromegane/random_multivariate_normal/workflows/Ruby/badge.svg)](https://github.com/monochromegane/random_multivariate_normal/actions)
+
+Random number generator from a multivariate normal distribution.
+
+## Usage
+
+```rb
+mean = Vector[-5.0, 5.0]
+cov = Matrix[[10, 0.5], [0.5, 0.1]]
+
+RandomMultivariateNormal.new.rand(mean, cov)
+```
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'random_multivariate_normal'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install random_multivariate_normal
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake test` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/monochromegane/random_multivariate_normal. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [Contributor Covenant](http://contributor-covenant.org) code of conduct.
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).
+
+## Code of Conduct
+
+Everyone interacting in the RandomMultivariateNormal project’s codebases, issue trackers, chat rooms and mailing lists is expected to follow the [code of conduct](https://github.com/monochromegane/random_multivariate_normal/blob/master/CODE_OF_CONDUCT.md).

data/Rakefile

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+require "bundler/gem_tasks"
+require "rake/testtask"
+
+Rake::TestTask.new(:test) do |t|
+  t.libs << "test"
+  t.libs << "lib"
+  t.test_files = FileList["test/**/*_test.rb"]
+end
+
+task :default => :test

data/bin/console

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+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "random_multivariate_normal"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start(__FILE__)

data/bin/setup

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+#!/usr/bin/env bash
+set -euo pipefail
+IFS=$'\n\t'
+set -vx
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/lib/random_multivariate_normal.rb

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+require 'matrix'
+require "random_multivariate_normal/version"
+
+class RandomMultivariateNormal
+  def initialize(seed = Random.new_seed)
+    @rnd = Random.new(seed)
+  end
+
+  def rand(mean, cov)
+    rand_multivariate_norm(@rnd, mean, cov)
+  end
+
+  private
+
+  def rand_multivariate_norm(rnd, mu, cov)
+    z = Vector[*mu.size.times.map{rand_norm(rnd)}]
+    l = cholesky_foctor(cov)
+    l*z+mu
+  end
+
+  def rand_norm(rnd)
+    box_muller(rnd.rand, rnd.rand)[0]
+  end
+
+  def box_muller(x, y)
+    z1 = Math.sqrt(-2 * Math.log(x)) * Math.cos(2 * Math::PI * y)
+    z2 = Math.sqrt(-2 * Math.log(x)) * Math.sin(2 * Math::PI * y)
+    [z1, z2]
+  end
+
+  def cholesky_foctor(mat)
+    raise ArgumentError.new('Not symmetric matrix') unless mat.symmetric?
+    raise ArgumentError.new('Not positive definite matrix') unless mat.eigen.d.each(:diagonal).all?{|d| d > 0.0}
+
+    l = Matrix.zero(mat.row_size)
+    mat.each_with_index do |e, row, col|
+      lij = if row == col
+              Math.sqrt(mat[col, col] - col.times.inject(0){|sum, j| sum + (l[col, j] ** 2)})
+            elsif row > col
+              (1.0/l[col, col]) * (mat[row, col] - col.times.inject(0){|sum, j| sum + l[row, j] * l[col, j]})
+            else
+              0.0
+            end
+      l[row, col] = lij
+    end
+    l
+  end
+end

data/lib/random_multivariate_normal/version.rb

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+class RandomMultivariateNormal
+  VERSION = "0.1.0"
+end

data/random_multivariate_normal.gemspec

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+
+lib = File.expand_path("../lib", __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require "random_multivariate_normal/version"
+
+Gem::Specification.new do |spec|
+  spec.name          = "random_multivariate_normal"
+  spec.version       = RandomMultivariateNormal::VERSION
+  spec.authors       = ["monochromegane"]
+  spec.email         = ["dev.kuro.obi@gmail.com"]
+
+  spec.summary       = %q{Random number generator from a multivariate normal distribution.}
+  spec.description   = %q{Random number generator from a multivariate normal distribution.}
+  spec.homepage      = "https://github.com/monochromegane/random_multivariate_normal"
+  spec.license       = "MIT"
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files         = Dir.chdir(File.expand_path('..', __FILE__)) do
+    `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler"
+  spec.add_development_dependency "rake", "~> 10.0"
+  spec.add_development_dependency "minitest", "~> 5.0"
+end

metadata

@@ -0,0 +1,97 @@
+--- !ruby/object:Gem::Specification
+name: random_multivariate_normal
+version: !ruby/object:Gem::Version
+  version: 0.1.0
+platform: ruby
+authors:
+- monochromegane
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2020-01-14 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.0'
+description: Random number generator from a multivariate normal distribution.
+email:
+- dev.kuro.obi@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".github/workflows/ruby.yml"
+- ".gitignore"
+- CODE_OF_CONDUCT.md
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- lib/random_multivariate_normal.rb
+- lib/random_multivariate_normal/version.rb
+- random_multivariate_normal.gemspec
+homepage: https://github.com/monochromegane/random_multivariate_normal
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.0.3
+signing_key: 
+specification_version: 4
+summary: Random number generator from a multivariate normal distribution.
+test_files: []