oneapi::mkl::rng::gaussian

Intel® oneAPI Math Kernel Library (oneMKL) - Data Parallel C++ Developer Reference

Download

ID 772045

Date 12/16/2022

Version

Public

A newer version of this document is available. Customers should click here to go to the newest version.

Visible to Intel only — GUID: GUID-7A018119-E4DD-496B-8739-A8004C30E840

View Details

oneapi::mkl::rng::gaussian_mv

Generates random numbers from multivariate normal distribution.

Description
API

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 d x d symmetric positive-definite matrix.

The probability density function is given by:

where x``∈ ``R^d .

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); // deprecated since oneMKL 2023.0
  explicit gaussian_mv(std::uint32_t dimen, sycl::span<RealType> mean,
                       sycl::span<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: 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.

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	`sycl::span< RealType> (float, double`	Mean span `a` of dimension `d`.
matrix	`sycl::span< RealType> (float, double`	Variance-covariance matrix `C`.

NOTE:

explicit gaussian_mv(std::uint32_t dimen, std::vector<RealType> mean, std::vector<RealType> matrix); is deprecated and will be removed in one of the next releases. Use explicit gaussian_mv(std::uint32_t dimen, sycl::span<RealType> mean, sycl::span<RealType> matrix); instead.
When passing a sycl::span that is constructed over a user’s memory to the constructor, users must manage the memory under sycl::span by themselves. They must not destroy the memory while data are processed.

Did you find the information on this page useful?

Yes

How could we improve the page?

Characters remaining:

Feedback Message

Select Your Region

Asia Pacific

Europe

Latin America

Middle East/Africa

North America

Using Intel.com Search

Quick Links

Recent Searches

Advanced Search

Only search in

Intel® oneAPI Math Kernel Library (oneMKL) - Data Parallel C++ Developer Reference

oneapi::mkl::rng::gaussian_mv

Description

API

Using Intel.com Search

Quick Links

Recent Searches

Advanced Search

Only search in

Intel® oneAPI Math Kernel Library (oneMKL) - Data Parallel C++ Developer Reference

oneapi::mkl::rng::gaussian_mv

Description

API

Give Feedback