Class MultiVariateGaussian

java.lang.Object

solvers.queueingnet.montecarloLogistic.distributions.MultiVariateGaussian

All Implemented Interfaces:

MultiVariateRealDistribution

public class MultiVariateGaussian
extends Object
implements MultiVariateRealDistribution

Multivariate Gaussian distribution. Implements the MVRD interface. Specified by a mean vector, covariance matrix and optionally an integer seed

Constructor Summary

Constructors

Constructor	Description
MultiVariateGaussian(double[] mean, double[][] cov)	Constructor MVG with default seed = 0
MultiVariateGaussian(double[] mean, double[][] cov, int seed)	Full constructor.
MultiVariateGaussian(MultiVariateGaussian MVG)	Copy constructor
MultiVariateGaussian(MultiVariateGaussian MVG, int seed)	Copy constructor with different seed

Method Summary

Modifier and Type	Method	Description
MultiVariateRealDistribution	copy()	required interface to copy distribution object
MultiVariateRealDistribution	copy(int seed)	copy distribution with specified integer seed
double[][]	getCovariance()
int	getDim()
double[]	getMean()
double[]	getSample()	Get sample from this distribution.
double	pdf(double[] point)	pdf of specified point in this distribution

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MultiVariateGaussian

public MultiVariateGaussian(double[] mean,
 double[][] cov,
 int seed)
                     throws InternalErrorException

Full constructor. Requires that covariance is square, and mean has same length as rows/cols on covariance. Requires that the covariance is symmetric, and positive definite

Parameters:

mean - double array representing vector of mean

cov - covariance matrix

seed - integer seed

Throws:

InternalErrorException

MultiVariateGaussian

public MultiVariateGaussian(double[] mean,
 double[][] cov)
                     throws InternalErrorException

Constructor MVG with default seed = 0

Parameters:

mean - mean vector

cov - covariance

Throws:

InternalErrorException

MultiVariateGaussian

public MultiVariateGaussian(MultiVariateGaussian MVG)
                     throws InternalErrorException

Copy constructor

Parameters:

MVG - MVG to copy from

Throws:

InternalErrorException

MultiVariateGaussian

public MultiVariateGaussian(MultiVariateGaussian MVG,
 int seed)
                     throws InternalErrorException

Copy constructor with different seed

Parameters:

MVG - MVG to copy from

seed - specified integer seed

Throws:

InternalErrorException

Method Details

copy

public MultiVariateRealDistribution copy()
                                  throws InternalErrorException

Description copied from interface: MultiVariateRealDistribution

required interface to copy distribution object

Specified by:

copy in interface MultiVariateRealDistribution

Returns:

a MVRD

Throws:

InternalErrorException

copy

public MultiVariateRealDistribution copy(int seed)
                                  throws InternalErrorException

Description copied from interface: MultiVariateRealDistribution

copy distribution with specified integer seed

Specified by:

copy in interface MultiVariateRealDistribution

Parameters:

seed - integer to seed the distribution with

Returns:

a copy of the distribution, with a different seed

Throws:

InternalErrorException

getDim

public int getDim()

Specified by:

getDim in interface MultiVariateRealDistribution

getMean

public double[] getMean()

getCovariance

public double[][] getCovariance()

pdf

public double pdf(double[] point)
           throws InternalErrorException

Description copied from interface: MultiVariateRealDistribution

pdf of specified point in this distribution

Specified by:

pdf in interface MultiVariateRealDistribution

Parameters:

point - point to evaluate pdf at

Returns:

double which is the pdf

Throws:

InternalErrorException

getSample

public double[] getSample()

Description copied from interface: MultiVariateRealDistribution

Get sample from this distribution. Since it is multivariate, return type is an array

Specified by:

getSample in interface MultiVariateRealDistribution

Returns:

double array - sample from this distribution