broadwick.statistics.distributions

Class TruncatedMultivariateNormalDistribution

java.lang.Object

broadwick.statistics.distributions.TruncatedMultivariateNormalDistribution

All Implemented Interfaces:

ContinuousMultivariateDistribution

public class TruncatedMultivariateNormalDistribution
extends Object
implements ContinuousMultivariateDistribution

Sample from a truncated Multivariate Normal (Gaussian) Distribution, i.e. a normal distribution whose value is bounded either above, below or both.

References:

• Multivariatenormal Distribution

Field Summary

Fields

Modifier and Type	Field and Description
private Matrix	covariances
private Vector	lowerBounds
private Vector	means
private int	n
private Vector	upperBounds

Constructor Summary

Constructors

Constructor and Description
TruncatedMultivariateNormalDistribution(Vector means, Matrix covariances, Vector lb, Vector ub) Create an instance of a multivariate distribution that is bounded.

Method Summary

Modifier and Type	Method and Description
Vector	sample() Obtain a sample from the distribution.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

n

private final int n

lowerBounds

private final Vector lowerBounds

upperBounds

private final Vector upperBounds

means

private final Vector means

covariances

private final Matrix covariances

Constructor Detail

TruncatedMultivariateNormalDistribution

public TruncatedMultivariateNormalDistribution(Vector means,
                                               Matrix covariances,
                                               Vector lb,
                                               Vector ub)

Create an instance of a multivariate distribution that is bounded.

Parameters:

means - the [mathematical] vector of the means of each variable.

covariances - the [mathematical] matrix of the covariances of each variable.

lb - the [mathematical] vector of the lower bounds of each variable.

ub - the [mathematical] vector of the upper bounds of each variable.

Method Detail

sample

public Vector sample()

Description copied from interface: ContinuousMultivariateDistribution

Obtain a sample from the distribution.

Specified by:

sample in interface ContinuousMultivariateDistribution

Returns:

the sampled value from t he distribution.