Package org.ejml.dense.row

Class CovarianceOps_DDRM

java.lang.Object
org.ejml.dense.row.CovarianceOps_DDRM
public class CovarianceOps_DDRM extends Object
Contains operations specific to covariance matrices.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static double
    TOL
     

  • Method Summary

    Modifier and Type
    Method
    Description
    static boolean
    invert(DMatrixRMaj cov)
    Performs a matrix inversion operations that takes advantage of the special properties of a covariance matrix.
    static boolean
    invert(DMatrixRMaj cov, DMatrixRMaj cov_inv)
    Performs a matrix inversion operations that takes advantage of the special properties of a covariance matrix.
    static int
    isValid(DMatrixRMaj cov)
    Performs a variety of tests to see if the provided matrix is a valid covariance matrix, performing the fastest checks first.
    static boolean
    isValidFast(DMatrixRMaj cov)
    This is a fairly light weight check to see of a covariance matrix is valid.
    static void
    randomVector(DMatrixRMaj cov, DMatrixRMaj vector, Random rand)
    Sets vector to a random value based upon a zero-mean multivariate Gaussian distribution with covariance 'cov'.

    Methods inherited from class java.lang.Object

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

  • Field Details

    • TOL

      public static double TOL

  • Method Details

    • isValidFast

      public static boolean isValidFast(DMatrixRMaj cov)
      This is a fairly light weight check to see of a covariance matrix is valid. It checks to see if the diagonal elements are all positive, which they should be if it is valid. Not all invalid covariance matrices will be caught by this method.
      Returns:
      true if valid and false if invalid

    • isValid

      public static int isValid(DMatrixRMaj cov)
      Performs a variety of tests to see if the provided matrix is a valid covariance matrix, performing the fastest checks first.
      Returns:
      0 = is valid 1 = failed: has negative diagonals, 2 = failed: not symmetry, 3 = failed: not semi positive definite

    • invert

      public static boolean invert(DMatrixRMaj cov)
      Performs a matrix inversion operations that takes advantage of the special properties of a covariance matrix.
      Parameters:
      cov - On input it is a covariance matrix, on output it is the inverse. Modified.
      Returns:
      true if it could invert the matrix false if it could not.

    • invert

      public static boolean invert(DMatrixRMaj cov, DMatrixRMaj cov_inv)
      Performs a matrix inversion operations that takes advantage of the special properties of a covariance matrix.
      Parameters:
      cov - A covariance matrix. Not modified.
      cov_inv - The inverse of cov. Modified.
      Returns:
      true if it could invert the matrix false if it could not.

    • randomVector

      public static void randomVector(DMatrixRMaj cov, DMatrixRMaj vector, Random rand)
      Sets vector to a random value based upon a zero-mean multivariate Gaussian distribution with covariance 'cov'. If repeat calls are made to this class, consider using CovarianceRandomDraw_DDRM instead.
      Parameters:
      cov - The distirbutions covariance. Not modified.
      vector - The random vector. Modified.
      rand - Random number generator.