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oneapi::mkl::rng::gaussian_mv

Generates random numbers from multivariate normal distribution.

Description

The class object is used in the oneapi::mkl::rng::generate function to provide random numbers with d-variate normal (Gaussian) distribution with mean (a) and variance-covariance matrix C, where a ∈ R^d ; C is dxd symmetric positive-definite matrix.

The probability density function is given by:

where x∈Rd .

Matrix C can be represented as C = TTT, where T is a lower triangular matrix - Cholesky factor of C.

API

Syntax

template<typename RealType = float, layout Layout = layout::packed, typename Method =
gaussian_mv_method::by_default>
class gaussian_mv {
public:
using method_type = Method;
using result_type = RealType;
static constexpr layout layout_type = Layout;
explicit gaussian_mv(std::uint32_t dimen, std::vector<RealType> mean,
std::vector<RealType> matrix);
explicit gaussian_mv(const param_type& pt);
std::uint32_t dimen() const;
std::vector<RealType> mean() const;
std::vector<RealType> matrix() const;
param_type param() const;
void param(const param_type& pt);
};

Devices supported: Host, CPU, and GPU.

Include Files

• oneapi/mkl/rng.hpp

Template Parameters

Name	Description
typename RealType = float	Type of the produced values. The specific values are as follows: float double
layout Layout = layout::packed	Type of the matrix storage. The specific values are as follows: layout::packed layout::full layout::diagonal See brief descriptions of the methods in Distributions Template Parameter Method.
typename Method = oneapi::mkl::rng::gaussian_mv_method::by_default	Generation method. The specific values are as follows: oneapi::mkl::rng::gaussian_mv_method::box_muller oneapi::mkl::rng::gaussian_mv_method::box_muller2 oneapi::mkl::rng::gaussian_mv_method::icdf See brief descriptions of the methods in Distributions Template Parameter Method.

Input Parameters

Name	Type	Description
dimen	std::uint32_t	Dimension of output random vectors
mean	std::vector< RealType> (float, double	Mean vector a of dimension d.
matrix	std::vector< RealType> (float, double	Variance-covariance matrix C.

oneapi::mkl::rng::chi_square oneapi::mkl::rng::uniform (Discrete)