Minor Description
For some matrices, I have seen that the computed covariance matrix is not exactly symmetric, most likely due to some numerical rounding errors. This is problematic when trying to construct an instance of MultivariateGaussian, because it requires an exactly symmetric covariance matrix. See reproducible example below.
I would suggest modifying the implementation so that G(i, j) and G(j, i) are set at the same time, with the same value.
val rdd = RandomRDDs.normalVectorRDD(sc, 100, 10, 0, 0) val matrix = new RowMatrix(rdd) val mean = matrix.computeColumnSummaryStatistics().mean val cov = matrix.computeCovariance() val dist = new MultivariateGaussian(mean, cov) //throws breeze.linalg.MatrixNotSymmetricException
