Package org.ejml.dense.row
Class CovarianceOps_DDRM
java.lang.Object
org.ejml.dense.row.CovarianceOps_DDRM
Contains operations specific to covariance matrices.

Field Summary

Method Summary
Modifier and TypeMethodDescriptionstatic 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 zeromean multivariate Gaussian distribution with covariance 'cov'.

Field Details

TOL
public static double TOL


Method Details

isValidFast
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
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
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
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
Sets vector to a random value based upon a zeromean multivariate Gaussian distribution with covariance 'cov'. If repeat calls are made to this class, consider usingCovarianceRandomDraw_DDRM
instead. Parameters:
cov
 The distirbutions covariance. Not modified.vector
 The random vector. Modified.rand
 Random number generator.
