random_multivariate_normal 0.1.0 → 0.1.1
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- checksums.yaml +4 -4
- data/lib/random_multivariate_normal.rb +9 -5
- data/lib/random_multivariate_normal/version.rb +1 -1
- metadata +4 -3
checksums.yaml
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@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: bf03666931f89046e6db874909e81b25049e3af9500e338662e4052395b9893a
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data.tar.gz: 488720985847dccb6883cde1285645d8c092563b39c4f3b124b90816a736f5a9
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 544f8eb3a66499431a9a052aaa5dbc5ca2afcef8a9e5601af0396ff2a62fe29992ffc963f9b0c18205a4d97a7e0e9bebda4cb18cc89ffb9b1dcdd4cc4143b16e
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data.tar.gz: 390a4ba56a069c3c90c3ab89d798baf0d0b41d733eac59763dc5f289280b8a838e4c041a33b0ea19e35e42bb671edf6bd3f6aecba6f5a8b2264f511c20644fe1
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@@ -32,17 +32,21 @@ class RandomMultivariateNormal
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raise ArgumentError.new('Not symmetric matrix') unless mat.symmetric?
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raise ArgumentError.new('Not positive definite matrix') unless mat.eigen.d.each(:diagonal).all?{|d| d > 0.0}
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l =
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l = array_as_zero_matrix(mat.row_size)
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mat.each_with_index do |e, row, col|
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lij = if row == col
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Math.sqrt(mat[col, col] - col.times.inject(0){|sum, j| sum + (l[col
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Math.sqrt(mat[col, col] - col.times.inject(0){|sum, j| sum + (l[col][j] ** 2)})
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elsif row > col
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(1.0/l[col
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(1.0/l[col][col]) * (mat[row, col] - col.times.inject(0){|sum, j| sum + l[row][j] * l[col][j]})
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else
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0.0
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end
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l[row
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l[row][col] = lij
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end
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l
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Matrix[*l]
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end
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def array_as_zero_matrix(size)
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Array.new(size) { Array.new(size, 0) }
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end
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end
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metadata
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--- !ruby/object:Gem::Specification
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name: random_multivariate_normal
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version: !ruby/object:Gem::Version
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version: 0.1.
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version: 0.1.1
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platform: ruby
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authors:
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- monochromegane
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autorequire:
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bindir: exe
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cert_chain: []
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date: 2020-
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date: 2020-03-25 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: bundler
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@@ -90,7 +90,8 @@ required_rubygems_version: !ruby/object:Gem::Requirement
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- !ruby/object:Gem::Version
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version: '0'
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requirements: []
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rubyforge_project:
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rubygems_version: 2.7.6.2
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signing_key:
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specification_version: 4
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summary: Random number generator from a multivariate normal distribution.
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