44 lines
1.5 KiB
C++
44 lines
1.5 KiB
C++
/*
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* Copyright (C) 2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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///////////////////////////////////////////////////////////
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// RandSampler.cpp
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// Implementation of the Class RandSampler
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// Created on: 09-Sep-2010 23:25:30
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///////////////////////////////////////////////////////////
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#include "RandSampler.hh"
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/**
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* draw = Mean + randn(1,n) * Sigma_upper_chol;
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*/
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void
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RandSampler::randMultiVar(Prior &distribution, Vector &draw, const Vector &mean, const Matrix &Scale, const size_t n)
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{
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assert(n == draw.getSize());
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assert(n == mean.getSize() || 1 == mean.getSize());
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assert(n == Scale.getRows() || 1 == Scale.getRows());
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assert(n == Scale.getCols() || 1 == Scale.getCols());
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for (size_t i = 0; i < n; ++i)
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draw(i) = mean(1 == mean.getSize() ? 0 : i)
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+ distribution.drand()
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*Scale((1 == Scale.getRows() ? 0 : i), (1 == Scale.getCols() ? 0 : i));
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}
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