MultinormalGen.java

/*
 * Class:        MultinormalGen
 * Description:  multivariate normal random variable generator
 * Environment:  Java
 * Software:     SSJ
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.randvarmulti;
 
import umontreal.ssj.probdist.NormalDist;
import umontreal.ssj.randvar.NormalGen;
import umontreal.ssj.rng.RandomStream;
import cern.colt.matrix.DoubleMatrix2D;
import cern.colt.matrix.linalg.CholeskyDecomposition;
import cern.colt.matrix.impl.DenseDoubleMatrix2D;

public class MultinormalGen extends RandomMultivariateGen {
   protected double[] mu;
   protected DoubleMatrix2D sigma;
   protected DoubleMatrix2D sqrtSigma;
   protected double[] temp;
   protected static final double MYINF = 37.54;
 
   private void initMN(NormalGen gen1, double[] mu, int d) {
      if (gen1 == null)
         throw new NullPointerException("gen1 is null");
 
      if (gen1.getMu() != 0.0)
         throw new IllegalArgumentException("mu != 0");
      if (gen1.getSigma() != 1.0)
         throw new IllegalArgumentException("sigma != 1");
      /*
       * NormalDist dist = (NormalDist) gen1.getDistribution(); if (dist != null) { if
       * (dist.getMu() != 0.0) throw new IllegalArgumentException ("mu != 0"); if
       * (dist.getSigma() != 1.0) throw new IllegalArgumentException ("sigma != 1"); }
       * dist = null;
       */
      this.gen1 = gen1;
 
      if (mu == null) { // d is the dimension
         dimension = d;
         this.mu = new double[d];
      } else { // d is unused
         dimension = mu.length;
         this.mu = (double[]) mu.clone();
      }
      temp = new double[dimension];
   }

   public MultinormalGen(NormalGen gen1, int d) {
      initMN(gen1, null, d);
      sigma = new DenseDoubleMatrix2D(d, d);
      sqrtSigma = new DenseDoubleMatrix2D(d, d);
      for (int i = 0; i < d; i++) {
         sigma.setQuick(i, i, 1.0);
         sqrtSigma.setQuick(i, i, 1.0);
      }
   }

   protected MultinormalGen(NormalGen gen1, double[] mu, DoubleMatrix2D sigma) {
      initMN(gen1, mu, -1);
      this.sigma = sigma.copy();
   }

   protected MultinormalGen(NormalGen gen1, double[] mu, double[][] sigma) {
      initMN(gen1, mu, -1);
      this.sigma = new DenseDoubleMatrix2D(sigma);
   }

   public double[] getMu() {
      return mu;
   }

   public double getMu(int i) {
      return mu[i];
   }

   public void setMu(double[] mu) {
      if (mu.length != this.mu.length)
         throw new IllegalArgumentException("Incompatible length of mean vector");
      this.mu = mu;
   }

   public void setMu(int i, double mui) {
      mu[i] = mui;
   }

   public DoubleMatrix2D getSigma() {
      return sigma.copy();
   }

   public void nextPoint(double[] p) {
      int n = dimension;
      for (int i = 0; i < n; i++) {
         temp[i] = gen1.nextDouble();
         if (temp[i] == Double.NEGATIVE_INFINITY)
            temp[i] = -MYINF;
         if (temp[i] == Double.POSITIVE_INFINITY)
            temp[i] = MYINF;
      }
      for (int i = 0; i < n; i++) {
         p[i] = 0;
         for (int c = 0; c < n; c++)
            p[i] += sqrtSigma.getQuick(i, c) * temp[c];
         p[i] += mu[i];
      }
   }
 
}