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fix tests and bugs revealed by new tests
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@ -545,10 +545,12 @@ function gaussian_rands(N=1, mean=0, cov=1, seed=undef) =
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rdata = [for (i = count(dim*N,0,2)) sqrt(-2*ln(nums[i]))*cos(360*nums[i+1])]
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)
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dim==1 ? add_scalar(sqrt(cov)*rdata,mean) :
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assert(is_matrix_symmetric(cov),"Supplied covariance matrix is not symmetric")
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let(
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L = cholesky(cov)
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)
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array_group(rdata,dim)*transpose(L);
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assert(is_def(L), "Supplied covariance matrix is not positive definite")
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move(mean,array_group(rdata,dim)*transpose(L));
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// Function: spherical_random_points()
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@ -1092,14 +1094,13 @@ function _back_substitute(R, b, x=[]) =
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function cholesky(A) =
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assert(is_matrix(A,square=true),"A must be a square matrix")
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assert(is_matrix_symmetric(A),"Cholesky factorization requires a symmetric matrix")
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echo(A=A,len=len(A))
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_cholesky(A,ident(len(A)), len(A));
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function _cholesky(A,L,n) = let(ffee=echo(insideA=A,L,n))
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function _cholesky(A,L,n) =
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A[0][0]<0 ? undef : // Matrix not positive definite
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len(A) == 1 ? submatrix_set(L,[[sqrt(A[0][0])]], n-1,n-1):
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let(
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i = n+1-len(A),ff=echo(i=i,lenA=len(A))
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i = n+1-len(A)
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)
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let(
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sqrtAii = sqrt(A[0][0]),
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@ -368,6 +368,17 @@ module test_gaussian_rands() {
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assert_equal(len(nums3), 1000);
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assert_equal(nums1, nums3);
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assert(nums1!=nums2);
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R = [[4,2],[2,17]];
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data = gaussian_rands(100000,[0,0],R,seed=49);
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assert(approx(mean(data), [0,0], eps=1e-2));
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assert(approx(transpose(data)*data/len(data), R, eps=2e-2));
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R2 = [[4,2,-1],[2,17,4],[-1,4,11]];
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data3 = gaussian_rands(100000,[1,2,3],R2,seed=97);
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assert(approx(mean(data3),[1,2,3], eps=1e-2));
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cdata = move(-mean(data3),data3);
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assert(approx(transpose(cdata)*cdata/len(cdata),R2,eps=.1));
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}
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test_gaussian_rands();
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