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add full covariance gaussian random vectors

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add cholesky fatorization (needed for above, also useful for solving
symmetric linear systems.)
This commit is contained in:
Adrian Mariano
2021-10-01 23:37:06 -04:00
parent 71b22e5850
commit a5ae4879be
2 changed files with 71 additions and 46 deletions
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6
tests/test_math.scad
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@@ -360,9 +360,9 @@ test_rand_int();
module test_gaussian_rands() {
nums1 = gaussian_rands(0,10,1000,seed=2132);
nums2 = gaussian_rands(0,10,1000,seed=2130);
nums3 = gaussian_rands(0,10,1000,seed=2132);
nums1 = gaussian_rands(1000,0,10,seed=2132);
nums2 = gaussian_rands(1000,0,10,seed=2130);
nums3 = gaussian_rands(1000,0,10,seed=2132);
assert_equal(len(nums1), 1000);
assert_equal(len(nums2), 1000);
assert_equal(len(nums3), 1000);