[jira] Created: (MATH-226) CorrelatedRandomVectorGenerator generates invariant samples

[Stuart Siegel (JIRA)]

CorrelatedRandomVectorGenerator generates invariant samples
-----------------------------------------------------------

                 Key: MATH-226
                 URL: https://issues.apache.org/jira/browse/MATH-226
             Project: Commons Math
          Issue Type: Bug
    Affects Versions: 1.2
         Environment: WIN32
            Reporter: Stuart Siegel


For the following code sample, the output is:
1.0,3.9432161557722925,16.66859790068678,1.0743673824292688,
1.0,-1.4103098147521094,-2.670854139636077,1.8368602953644368,
1.0,0.230029048125738,12.67864233710285,0.1124537698401884,

Why is the first column of each row fixed at 1.0?

Here is the code that generated this:

import org.apache.commons.math.linear.RealMatrix;
import org.apache.commons.math.linear.RealMatrixImpl;
import org.apache.commons.math.random.CorrelatedRandomVectorGenerator;
import org.apache.commons.math.random.GaussianRandomGenerator;
import org.apache.commons.math.random.JDKRandomGenerator;

public class TestMath {

        public static void sampler(double[] mean, double[][] cov, double[][] s) 
{
                RealMatrix covRM = new RealMatrixImpl(cov);
                try {
                        CorrelatedRandomVectorGenerator sg = new 
CorrelatedRandomVectorGenerator(
                                        mean, covRM, 0.00001, new 
GaussianRandomGenerator(
                                                        new 
JDKRandomGenerator()));

                        for (int i = 0; i < s.length; i++) {
                                s[i] = sg.nextVector();
                        }
                } catch (Exception e) {
                        e.printStackTrace();
                        System.exit(-1);
                }

        }

        static void print(double[][] s) {
                for (int r = 0; r < s.length; r++) {
                        for (int c = 0; c < s[r].length; c++)
                                System.out.print(s[r][c] + ",");
                        System.out.println();

                }

        }

        public static void main(String[] args) {
                double[] mean = { 1, 1, 10, 1 };
                double[][] cov = { { 1, 3, 2, 6 }, { 3, 13, 16, 2 }, { 2, 16, 
38, -1 },
                                { 6, 2, -1, 197 } };

                
                double[][] s = new double[3][4];

                TestMath.sampler(mean, cov, s);
                TestMath.print(s);

                
        }
}


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