RandomMultiGauss Class Reference

#include <RandomMultiGauss.h>

Public Member Functions
AlgebraicVector	fire ()
	RandomMultiGauss (const AlgebraicVector &aVector, const AlgebraicSymMatrix &aMatrix)
	RandomMultiGauss (const AlgebraicSymMatrix &aMatrix)
	~RandomMultiGauss ()

Private Member Functions
void	initialise (const AlgebraicSymMatrix &)

Private Attributes
AlgebraicVector	theMeans
int	theSize
AlgebraicMatrix	theTriangle

Detailed Description

Vector of random numbers according to covariance matrix. Generates vectors of random numbers given a vector of mean values (optional) and a covariance matrix. Will accept empty rows/columns in the input matrix. Uses CLHEP::RandGauss with default engine for generation.

Definition at line 14 of file RandomMultiGauss.h.

Constructor & Destructor Documentation

RandomMultiGauss::RandomMultiGauss	(	const AlgebraicVector &	aVector,
		const AlgebraicSymMatrix &	aMatrix
	)

constructor with explicit vector of mean values

Definition at line 9 of file RandomMultiGauss.cc.

References initialise(), theMeans, and theSize.

    : theSize(aMatrix.num_row()), theMeans(aVector), theTriangle(theSize, theSize, 0) {
  //
  // Check consistency
  //
  if (theMeans.num_row() == theSize) {
    initialise(aMatrix);
  } else {
    //    throw DetLogicError("RandomMultiGauss: size of vector and matrix do not match");
    theMeans = AlgebraicVector(theSize, 0);
  }
}

RandomMultiGauss::RandomMultiGauss

(

const AlgebraicSymMatrix &

aMatrix

)

constructor with covariance matrix only (all means = 0)

Definition at line 24 of file RandomMultiGauss.cc.

References initialise().

    : theSize(aMatrix.num_row()), theMeans(theSize, 0), theTriangle(theSize, theSize, 0) {
  //
  initialise(aMatrix);
}

RandomMultiGauss::~RandomMultiGauss ( )

inline

Definition at line 23 of file RandomMultiGauss.h.

References fire(), and initialise().

{}

Member Function Documentation

AlgebraicVector RandomMultiGauss::fire

(

)

Generation of a vector of random numbers.

Definition at line 71 of file RandomMultiGauss.cc.

References mps_fire::i, theMeans, theSize, and theTriangle.

Referenced by ~RandomMultiGauss().

                                       {
  AlgebraicVector vRandom(theSize, 0);
  for (int i = 0; i < theSize; i++) {
    if (theTriangle[i][i] != 0)
      vRandom[i] = CLHEP::RandGauss::shoot();
  }
  return theTriangle * vRandom + theMeans;
}

void RandomMultiGauss::initialise ( const AlgebraicSymMatrix &  aMatrix )

private

generation of the cholesky decomposition

Definition at line 32 of file RandomMultiGauss.cc.

References testProducerWithPsetDescEmpty_cfi::i1, testProducerWithPsetDescEmpty_cfi::i2, testProducerWithPsetDescEmpty_cfi::i3, mathSSE::sqrt(), theSize, and theTriangle.

Referenced by RandomMultiGauss(), and ~RandomMultiGauss().

                                                                   {
  //
  // Cholesky decomposition with protection against empty rows/columns
  //
  for (int i1 = 0; i1 < theSize; i1++) {
    if (fabs(aMatrix[i1][i1]) < FLT_MIN)
      continue;

    for (int i2 = i1; i2 < theSize; i2++) {
      if (fabs(aMatrix[i2][i2]) < FLT_MIN)
        continue;

      double sum = aMatrix[i2][i1];
      for (int i3 = i1 - 1; i3 >= 0; i3--) {
        if (fabs(aMatrix[i3][i3]) < FLT_MIN)
          continue;
        sum -= theTriangle[i1][i3] * theTriangle[i2][i3];
      }

      if (i1 == i2) {
        //
        // check for positive definite input matrix, but allow for effects
        // due to finite precision
        //
        if (sum <= 0) {
          //      if ( sum<-FLT_MIN )  throw DetLogicError("RandomMultiGauss: input matrix is not positive definite");
          sum = FLT_MIN;
        }
        theTriangle[i1][i1] = sqrt(sum);
      } else {
        theTriangle[i1][i2] = 0.;
        theTriangle[i2][i1] = sum / theTriangle[i1][i1];
      }
    }
  }
}

Member Data Documentation

AlgebraicVector RandomMultiGauss::theMeans

private

Definition at line 35 of file RandomMultiGauss.h.

Referenced by fire(), and RandomMultiGauss().

int RandomMultiGauss::theSize

private

Definition at line 34 of file RandomMultiGauss.h.

Referenced by fire(), initialise(), and RandomMultiGauss().

AlgebraicMatrix RandomMultiGauss::theTriangle

private

Definition at line 36 of file RandomMultiGauss.h.

Referenced by fire(), and initialise().