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|
-----------------------------------------------------------------------------
-- |
-- Module : Data.Packed.Vector
-- Copyright : (c) Alberto Ruiz 2009
-- License : GPL
--
-- Maintainer : Alberto Ruiz <aruiz@um.es>
-- Stability : provisional
--
-- Random vectors and matrices.
--
-----------------------------------------------------------------------------
module Data.Packed.Random (
RandDist(..),
randomVector,
gaussianSample,
uniformSample,
meanCov,
) where
import Numeric.GSL.Vector
import Data.Packed
import Numeric.LinearAlgebra.Linear
import Numeric.LinearAlgebra.Algorithms
import Numeric.LinearAlgebra.Instances()
import Numeric.LinearAlgebra.Interface
-- | Obtains a matrix whose rows are pseudorandom samples from a multivariate
-- Gaussian distribution.
gaussianSample :: Int -- ^ seed
-> Int -- ^ number of rows
-> Vector Double -- ^ mean vector
-> Matrix Double -- ^ covariance matrix
-> Matrix Double -- ^ result
gaussianSample seed n med cov = m where
(l,v) = eigSH' cov
c = dim l
meds = constant 1 n `outer` med
rs = reshape c $ randomVector seed Gaussian (c * n)
ds = sqrt (abs l)
m = rs <> (diag ds <> trans v) + meds
-- | Obtains a matrix whose rows are pseudorandom samples from a multivariate
-- uniform distribution.
uniformSample :: Int -- ^ seed
-> Int -- ^ number of rows
-> [(Double,Double)] -- ^ ranges for each column
-> Matrix Double -- ^ result
uniformSample seed n rgs = m where
(as,bs) = unzip rgs
a = fromList as
b = fromList bs
cs = zipWith subtract as bs
d = dim a
dat = toRows $ reshape n $ randomVector seed Uniform (n*d)
am = constant 1 n `outer` a
m = fromColumns (zipWith scale cs dat) + am
------------ utilities -------------------------------
-- | Compute mean vector and covariance matrix of the rows of a matrix.
meanCov :: Matrix Double -> (Vector Double, Matrix Double)
meanCov x = (med,cov) where
r = rows x
k = 1 / fromIntegral r
med = constant k r <> x
meds = constant 1 r `outer` med
xc = x - meds
cov = (trans xc <> xc) / fromIntegral (r-1)
|
