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https://issues.apache.org/jira/browse/MATH-789?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]
Thomas Neidhart updated MATH-789:
---------------------------------
Assignee: (was: Thomas Neidhart)
> Correlated random vector generator fails (silently) when faced with zero rows
> in covariance matrix
> --------------------------------------------------------------------------------------------------
>
> Key: MATH-789
> URL: https://issues.apache.org/jira/browse/MATH-789
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 3.0
> Environment: JDK 1.6 / Eclipse Indigo on Ubuntu 10.04
> Reporter: Gert van Valkenhoef
> Attachments: MultivariateGaussianGeneratorTest.java
>
>
> The following three matrices (which are basically permutations of each other)
> produce different results when sampling a multi-variate Gaussian with the
> help of CorrelatedRandomVectorGenerator (sample covariances calculated in R,
> based on 10,000 samples):
> Array2DRowRealMatrix{
> {0.0,0.0,0.0,0.0,0.0},
> {0.0,0.013445532,0.01039469,0.009881156,0.010499559},
> {0.0,0.01039469,0.023006616,0.008196856,0.010732709},
> {0.0,0.009881156,0.008196856,0.019023866,0.009210099},
> {0.0,0.010499559,0.010732709,0.009210099,0.019107243}}
> > cov(data1)
> V1 V2 V3 V4 V5
> V1 0 0.000000000 0.00000000 0.000000000 0.000000000
> V2 0 0.013383931 0.01034401 0.009913271 0.010506733
> V3 0 0.010344006 0.02309479 0.008374730 0.010759306
> V4 0 0.009913271 0.00837473 0.019005488 0.009187287
> V5 0 0.010506733 0.01075931 0.009187287 0.019021483
> Array2DRowRealMatrix{
> {0.013445532,0.01039469,0.0,0.009881156,0.010499559},
> {0.01039469,0.023006616,0.0,0.008196856,0.010732709},
> {0.0,0.0,0.0,0.0,0.0},
> {0.009881156,0.008196856,0.0,0.019023866,0.009210099},
> {0.010499559,0.010732709,0.0,0.009210099,0.019107243}}
> > cov(data2)
> V1 V2 V3 V4 V5
> V1 0.006922905 0.010507692 0 0.005817399 0.010330529
> V2 0.010507692 0.023428918 0 0.008273152 0.010735568
> V3 0.000000000 0.000000000 0 0.000000000 0.000000000
> V4 0.005817399 0.008273152 0 0.004929843 0.009048759
> V5 0.010330529 0.010735568 0 0.009048759 0.018683544
> Array2DRowRealMatrix{
> {0.013445532,0.01039469,0.009881156,0.010499559},
> {0.01039469,0.023006616,0.008196856,0.010732709},
> {0.009881156,0.008196856,0.019023866,0.009210099},
> {0.010499559,0.010732709,0.009210099,0.019107243}}
> > cov(data3)
> V1 V2 V3 V4
> V1 0.013445047 0.010478862 0.009955904 0.010529542
> V2 0.010478862 0.022910522 0.008610113 0.011046353
> V3 0.009955904 0.008610113 0.019250975 0.009464442
> V4 0.010529542 0.011046353 0.009464442 0.019260317
> I've traced this back to the RectangularCholeskyDecomposition, which does not
> seem to handle the second matrix very well (decompositions in the same order
> as the matrices above):
> CorrelatedRandomVectorGenerator.getRootMatrix() =
> Array2DRowRealMatrix{{0.0,0.0,0.0,0.0,0.0},{0.0759577418122063,0.0876125188474239,0.0,0.0,0.0},{0.07764443622513505,0.05132821221460752,0.11976381821791235,0.0,0.0},{0.06662930527909404,0.05501661744114585,0.0016662506519307997,0.10749324207653632,0.0},{0.13822895138139477,0.0,0.0,0.0,0.0}}
> CorrelatedRandomVectorGenerator.getRank() = 5
> CorrelatedRandomVectorGenerator.getRootMatrix() =
> Array2DRowRealMatrix{{0.0759577418122063,0.034512751379448724,0.0},{0.07764443622513505,0.13029949164628746,0.0},{0.0,0.0,0.0},{0.06662930527909404,0.023203936694855674,0.0},{0.13822895138139477,0.0,0.0}}
> CorrelatedRandomVectorGenerator.getRank() = 3
> CorrelatedRandomVectorGenerator.getRootMatrix() =
> Array2DRowRealMatrix{{0.0759577418122063,0.034512751379448724,0.033913748226348225,0.07303890149947785},{0.07764443622513505,0.13029949164628746,0.0,0.0},{0.06662930527909404,0.023203936694855674,0.11851573313229945,0.0},{0.13822895138139477,0.0,0.0,0.0}}
> CorrelatedRandomVectorGenerator.getRank() = 4
> Clearly, the rank of each of these matrices should be 4. The first matrix
> does not lead to incorrect results, but the second one does. Unfortunately, I
> don't know enough about the Cholesky decomposition to find the flaw in the
> implementation, and I could not find documentation for the "rectangular"
> variant (also not at the links provided in the javadoc).
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