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https://issues.apache.org/jira/browse/MATH-226?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Luc Maisonobe resolved MATH-226.
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Resolution: Fixed
There was an error in the Choleski decomposition with rows reordering. The
wrong permutation was used
(swap[i] instead of index[i] in the root matrix construction at the end of the
decompose method).
The problem is now fixed in subversion repository, in branch MATH_2_0 as of
r696054, and a new test has been added using your data.
Thanks for reporting the problem.
> 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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