stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Estimation C++ DLL: Bug-fixing Sampler

time-shift
George Perendia 2010-12-11 19:22:27 +00:00
parent e04a07c771
commit 915bb4c451
1 changed files with 9 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

15
mex/sources/estimation/RandSampler.cc
View File

@ -24,6 +24,7 @@
///////////////////////////////////////////////////////////
#include "RandSampler.hh"
#include "BlasBindings.hh"
/**
* draw = Mean + randn(1,n) * Sigma_upper_chol;
@ -32,12 +33,14 @@ void
RandSampler::randMultiVar(Prior &distribution, Vector &draw, const Vector &mean, const Matrix &Scale, const size_t n)
{
assert(n == draw.getSize());
assert(n == mean.getSize() || 1 == mean.getSize());
assert(n == Scale.getRows() || 1 == Scale.getRows());
assert(n == Scale.getCols() || 1 == Scale.getCols());
assert(n == mean.getSize() );
assert(n == Scale.getRows());
assert(n == Scale.getCols());
draw=mean;
Vector drawTmp(n);
for (size_t i = 0; i < n; ++i)
draw(i) = mean(1 == mean.getSize() ? 0 : i)
+ distribution.drand()
*Scale((1 == Scale.getRows() ? 0 : i), (1 == Scale.getCols() ? 0 : i));
drawTmp(i) = distribution.drand();
blas::gemv("T", 1.0, Scale, drawTmp, 1.0, draw);
}