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Algorithms and components for machine learning and statistics.
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/*
* File: MultivariateGaussianInverseGammaDistribution.java
* Authors: Kevin R. Dixon
* Company: Sandia National Laboratories
* Project: Cognitive Foundry
*
* Copyright Apr 1, 2010, Sandia Corporation.
* Under the terms of Contract DE-AC04-94AL85000, there is a non-exclusive
* license for use of this work by or on behalf of the U.S. Government.
* Export of this program may require a license from the United States
* Government. See CopyrightHistory.txt for complete details.
*
*/
package gov.sandia.cognition.statistics.distribution;
import gov.sandia.cognition.math.matrix.Vector;
import gov.sandia.cognition.statistics.AbstractDistribution;
import gov.sandia.cognition.statistics.ClosedFormDistribution;
import gov.sandia.cognition.util.ObjectUtil;
import java.util.ArrayList;
import java.util.Collection;
import java.util.Random;
/**
* A distribution where the mean is selected by a multivariate Gaussian and
* a variance parameter (either for a univariate Gaussian or isotropic Gaussian)
* is determined by an Inverse-Gamma distribution.
* @author Kevin R. Dixon
* @since 3.0
*/
public class MultivariateGaussianInverseGammaDistribution
extends AbstractDistribution
implements ClosedFormDistribution
{
/**
* Default dimensionality, {@value}.
*/
public static final int DEFAULT_DIMENSIONALITY = 2;
/**
* Gaussian component
*/
protected MultivariateGaussian gaussian;
/**
* Inverse-Gamma component
*/
protected InverseGammaDistribution inverseGamma;
/**
* Default constructor
*/
public MultivariateGaussianInverseGammaDistribution()
{
this( DEFAULT_DIMENSIONALITY );
}
/**
* Creates a new instance of MultivariateGaussianInverseGammaDistribution
* @param dimensionality
* Dimensionality of the multivariate Gaussian
*/
public MultivariateGaussianInverseGammaDistribution(
final int dimensionality )
{
this( new MultivariateGaussian( dimensionality ),
new InverseGammaDistribution() );
}
/**
* Creates a new instance of MultivariateGaussianInverseGammaDistribution
* @param gaussian
* Gaussian component
* @param inverseGamma
* Inverse-Gamma component
*/
public MultivariateGaussianInverseGammaDistribution(
final MultivariateGaussian gaussian,
final InverseGammaDistribution inverseGamma)
{
this.gaussian = gaussian;
this.inverseGamma = inverseGamma;
}
@Override
public MultivariateGaussianInverseGammaDistribution clone()
{
MultivariateGaussianInverseGammaDistribution clone =
(MultivariateGaussianInverseGammaDistribution) super.clone();
clone.setGaussian( ObjectUtil.cloneSafe( this.getGaussian() ) );
clone.setInverseGamma( ObjectUtil.cloneSafe( this.getInverseGamma() ) );
return clone;
}
@Override
public Vector getMean()
{
return this.getGaussian().getMean();
}
@Override
public void sampleInto(
final Random random,
final int sampleCount,
final Collection super Vector> output)
{
final double[] varianceScales =
this.getInverseGamma().sampleAsDoubles(random, sampleCount);
MultivariateGaussian sampler = this.getGaussian().clone();
for( int n = 0; n < sampleCount; n++ )
{
double varianceScale = varianceScales[n];
sampler.setCovariance(
this.getGaussian().getCovariance().scale( varianceScale ) );
output.add( sampler.sample(random) );
}
}
/**
* Getter for gaussian
* @return
* Gaussian component
*/
public MultivariateGaussian getGaussian()
{
return this.gaussian;
}
/**
* Setter for gaussian
* @param gaussian
* Gaussian component
*/
public void setGaussian(
final MultivariateGaussian gaussian)
{
this.gaussian = gaussian;
}
/**
* Getter for inverseGamma
* @return
* Inverse-Gamma component
*/
public InverseGammaDistribution getInverseGamma()
{
return this.inverseGamma;
}
/**
* Setter for inverseGamma
* @param inverseGamma
* Inverse-Gamma component
*/
public void setInverseGamma(
final InverseGammaDistribution inverseGamma)
{
this.inverseGamma = inverseGamma;
}
@Override
public Vector convertToVector()
{
return this.getGaussian().convertToVector().stack(
this.getInverseGamma().convertToVector() );
}
@Override
public void convertFromVector(
final Vector parameters)
{
int dim = this.getGaussian().getInputDimensionality();
int N = dim + dim*dim;
parameters.assertDimensionalityEquals(N+2);
this.getGaussian().convertFromVector(parameters.subVector(0, N-1) );
this.getInverseGamma().convertFromVector( parameters.subVector(N, N+1) );
}
}