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  1. Commons Math
  2. MATH-541

add a "rectangular" Cholesky-like decomposition

    Details

    • Type: Improvement
    • Status: Closed
    • Priority: Minor
    • Resolution: Fixed
    • Affects Version/s: 2.2
    • Fix Version/s: 3.0
    • Labels:
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      Description

      The CorrelatedRandomVectorGenerator class uses a kind of rectangular Cholesky-like transform M = B.Bt where B is a rectangular matrix. The difference with respect to a regular Cholesky decomposition is that rows/columns may be permuted (hence the rectangular shape instead of the traditional triangular shape) and there is a threshold to ignore small diagonal elements. This is used for example to generate correlated random n-dimensions vectors in a p-dimension subspace (p < n). In other words, it allows generating random vectors from a covariance matrix that is only positive semidefinite, and not positive definite.

      It would be nice to have this decomposition available as a stand-alone class outside of the CorrelatedRandomVectorGenerator.

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            • Assignee:
              luc Luc Maisonobe
              Reporter:
              luc Luc Maisonobe
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                Updated:
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