oneapi::mkl::rng::gaussian_mv

Generates random numbers from multivariate normal distribution.

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;
explicit gaussian_mv(std::uint32_t dimen, std::vector<RealType> mean, std::vector<RealType> matrix);
std::uint32_t dimen() const;
std::vector<RealType> mean() const;
std::vector<RealType> matrix() const;
};

Devices supported: Host and CPU.

Include Files

  • oneapi/mkl/rng.hpp

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 aRd ; C is dxd symmetric positive-definite matrix.

The probability density function is given by:


image0

where x∈Rd .

Matrix C can be represented as C = TTT, where T is a lower triangular matrix - Cholesky factor of C.

Template Parameters

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 Values

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 Values

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.