oneapi::mkl::rng::gaussian_mv
Generates random numbers from multivariate normal distribution.
Description
The class object is used in the
oneapi::mkl::rng::generate
function to provide random numbers with d
-variate normal (Gaussian) distribution with mean (a
) and variance-covariance matrix C
, where a
∈ R
d
; C
is dxd symmetric positive-definite matrix.The probability density function is given by:
where
x∈Rd
.Matrix
C
can be represented as C = TTT
, where T
is a lower triangular matrix - Cholesky factor of C
.API
Syntax
template<typename RealType = float, layout Layout = layout::packed, typename Method =
gaussian_mv_method::by_default>
class gaussian_mv {
public:
using method_type = Method;
using result_type = RealType;
static constexpr layout layout_type = Layout;
explicit gaussian_mv(std::uint32_t dimen, std::vector<RealType> mean,
std::vector<RealType> matrix);
explicit gaussian_mv(const param_type& pt);
std::uint32_t dimen() const;
std::vector<RealType> mean() const;
std::vector<RealType> matrix() const;
param_type param() const;
void param(const param_type& pt);
};Devices supported: Host, CPU, and GPU.
Include Files
- oneapi/mkl/rng.hpp
Template Parameters
Name | Description |
|---|---|
typename RealType = float | Type of the produced values. The specific values are as follows: float double |
layout Layout = layout::packed | Type of the matrix storage. The specific values are as follows: layout::packed layout::full layout::diagonal See brief descriptions of the methods in Distributions Template Parameter Method. |
typename Method = oneapi::mkl::rng::gaussian_mv_method::by_default | Generation method. The specific values are as follows: oneapi::mkl::rng::gaussian_mv_method::box_muller oneapi::mkl::rng::gaussian_mv_method::box_muller2 oneapi::mkl::rng::gaussian_mv_method::icdf See brief descriptions of the methods in Distributions Template Parameter Method. |
Input Parameters
Name | Type | Description |
|---|---|---|
dimen | std::uint32_t | Dimension of output random vectors |
mean | std::vector< RealType> (float, double | Mean vector a of dimension d . |
matrix | std::vector< RealType> (float, double | Variance-covariance matrix C . |