[MATH-226] CorrelatedRandomVectorGenerator generates invariant samples

• Type: Bug
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Affects Version/s: 1.2

Environment

WIN32

• Assignee: Unassigned
• Reporter: Stuart Siegel
• Created: 16/Sep/08 20:08
• Updated: 23/Apr/09 02:26
• Resolved: 16/Sep/08 21:05

Description

For the following code sample, the output is:
1.0,3.9432161557722925,16.66859790068678,1.0743673824292688,
1.0,-1.4103098147521094,-2.670854139636077,1.8368602953644368,
1.0,0.230029048125738,12.67864233710285,0.1124537698401884,

Why is the first column of each row fixed at 1.0?

Here is the code that generated this:

import org.apache.commons.math.linear.RealMatrix;
import org.apache.commons.math.linear.RealMatrixImpl;
import org.apache.commons.math.random.CorrelatedRandomVectorGenerator;
import org.apache.commons.math.random.GaussianRandomGenerator;
import org.apache.commons.math.random.JDKRandomGenerator;

public class TestMath {

public static void sampler(double[] mean, double[][] cov, double[][] s) {
RealMatrix covRM = new RealMatrixImpl(cov);
try {
CorrelatedRandomVectorGenerator sg = new CorrelatedRandomVectorGenerator(
mean, covRM, 0.00001, new GaussianRandomGenerator(
new JDKRandomGenerator()));

for (int i = 0; i < s.length; i++)

{ s[i] = sg.nextVector(); }

} catch (Exception e)

{ e.printStackTrace(); System.exit(-1); }

}

static void print(double[][] s) {
for (int r = 0; r < s.length; r++)

{ for (int c = 0; c < s[r].length; c++) System.out.print(s[r][c] + ","); System.out.println(); }

}

public static void main(String[] args) {
double[] mean =

{ 1, 1, 10, 1 }

;
double[][] cov = {

{ 1, 3, 2, 6 }

,

{ 3, 13, 16, 2 }

,

{ 2, 16, 38, -1 }

,

{ 6, 2, -1, 197 }

};

double[][] s = new double[3][4];

TestMath.sampler(mean, cov, s);
TestMath.print(s);

}
}