CovarianceOps
org.ejml.ops

Class CovarianceOps



  • public class CovarianceOpsextends Object
    Contains operations specific to covariance matrices.
    • Field Detail

      • TOL

        public static double TOL
    • Constructor Detail

      • CovarianceOps

        public CovarianceOps()
    • Method Detail

      • isValidFast

        public static boolean isValidFast(DenseMatrix64F 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(DenseMatrix64F cov)
        Performs a variety of tests to see if the provided matrix is a valid covariance matrix.
        Returns:
        0 = is valid 1 = failed positive diagonal, 2 = failed on symmetry, 2 = failed on positive definite
      • invert

        public static boolean invert(DenseMatrix64F 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(DenseMatrix64F cov,             DenseMatrix64F 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(DenseMatrix64F cov,                DenseMatrix64F 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 instead.
        Parameters:
        cov - The distirbutions covariance. Not modified.
        vector - The random vector. Modified.
        rand - Random number generator.

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