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//#include "CommonDet/DetUtilities/interface/DetExceptions.h"
#include "CommonTools/Statistics/interface/RandomMultiGauss.h"
#include "CLHEP/Random/RandGauss.h"
#include <cfloat>
//
// constructor with means and covariance
//
RandomMultiGauss::RandomMultiGauss(const AlgebraicVector& aVector, const AlgebraicSymMatrix& aMatrix)
: 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);
}
}
//
// constructor with covariance (mean = 0)
//
RandomMultiGauss::RandomMultiGauss(const AlgebraicSymMatrix& aMatrix)
: theSize(aMatrix.num_row()), theMeans(theSize, 0), theTriangle(theSize, theSize, 0) {
//
initialise(aMatrix);
}
//
// construct triangular matrix (Cholesky decomposition)
//
void RandomMultiGauss::initialise(const AlgebraicSymMatrix& aMatrix) {
//
// 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];
}
}
}
}
//
// generate vector of random numbers
//
AlgebraicVector RandomMultiGauss::fire() {
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;
}
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