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我正在插入 Math.net 进行一些采样,但我只是没有得到它应该工作的方式......我在这里错过了什么?

let mm  =  Double.DenseMatrix.Identity(2)
let ida =  Double.DenseMatrix.Identity(2)
let idb =  Double.DenseMatrix.Identity(2)
let generator = MatrixNormal(mm, ida, idb)
generator.Density(mm)

我明白了

System.ArgumentOutOfRangeException: Matrix dimensions must agree.
Parameter name: x
   at MathNet.Numerics.Distributions.MatrixNormal.Density(Matrix`1 x) in c:\TeamCity\buildAgent\work\392bcd0e1411b00f\src\Numerics\Distributions\Multivariate\MatrixNormal.cs:line 241
   at <StartupCode$FSI_0079>.$FSI_0079.main@()
Stopped due to error

当我查看 github 源代码时,这很奇怪

  public double Density(Matrix<double> x)        { 
       if (x.RowCount != _m.RowCount || x.ColumnCount != _m.ColumnCount) 
       {                
           throw Matrix.DimensionsDontMatch<ArgumentOutOfRangeException>(x, _m, "x");                         
       }

编辑

重新启动一切后,它适用于 2*2 矩阵均值,但不适用于 2*1(调整列方差后)。非常奇怪的是,在定义时有一些尺寸检查。但是错误消息是在调用时出现的。可能是检查错误的行方差和列方差,并在调用时使用正确的。所有这些都强调了丰富类型检查的强大优势。

对于好奇的人,这里是一个多变量实现。虽然没有检查..

let sampleNormal = 
   let rnd = new MersenneTwister()
   fun () ->
      let rec randomNormal () = 
          let u1, u2 = rnd.NextDouble(),rnd.NextDouble()
          let r = sqrt (-2. * (log u1))
          let theta = 2. * System.Math.PI * u2  
          seq { yield r * sin theta
                yield r * cos theta 
                yield! randomNormal() }
      randomNormal ()


let generate covar = 
   let chol = Double.Factorization.DenseCholesky(covar)
   let a = chol.Factor
   fun () -> let v = vector ( sampleNormal() |> Seq.take(covar.ColumnCount) |> List.ofSeq )
             a * v
//generate covar  

let generatecovar = generate covar
let generaten n covar = Seq.init n (fun _ -> generatecovar ()) 

编辑

Cholesky 对于完全相关的输入失败,这没关系

let mapply (m:Generic.Matrix<float>) f = m.IndexedEnumerator() |> Seq.iter(fun (i,j,v) -> m.[i,j] <- f v ); m

let generate (covar:Generic.Matrix<float>) = 
   let R = if covar.Determinant() = 0. then   // we want covar = R.RT  // C = U D1/2.D1/2 U' = (RT.QT) Q.R = RT.RTT  
               let u, d, vt = let t = covar.Svd(true) in t.U(), t.W(), t.VT()  
               let A = (mapply d sqrt) * u.Transpose()                    
               let qr = A.QR() in qr.R.Transpose()                                 
            else
               let chol = covar.Cholesky()
               chol.Factor
   fun () -> let v = vector ( sampleNormal() |> Seq.take(covar.ColumnCount) |> List.ofSeq )
             R * v
4

1 回答 1

1

我找不到你的代码有什么问题。你确定你运行的是正确的代码吗?也许是错误版本的库代码,甚至是你自己的?尝试重新启动 FSI,甚至重新编译库。

于 2012-06-30T20:55:19.460 回答