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Posted to commits@commons.apache.org by er...@apache.org on 2013/01/15 13:15:50 UTC
svn commit: r1433367 - in /commons/proper/math/trunk/src: changes/changes.xml
main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java
test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java
Author: erans
Date: Tue Jan 15 12:15:50 2013
New Revision: 1433367
URL: http://svn.apache.org/viewvc?rev=1433367&view=rev
Log:
MATH-929
Fixed truncated value. Thanks to Piotr Wydrych.
Added unit test: comparing density values with univariate
normal distribution.
Modified:
commons/proper/math/trunk/src/changes/changes.xml
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java
Modified: commons/proper/math/trunk/src/changes/changes.xml
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/changes/changes.xml?rev=1433367&r1=1433366&r2=1433367&view=diff
==============================================================================
--- commons/proper/math/trunk/src/changes/changes.xml (original)
+++ commons/proper/math/trunk/src/changes/changes.xml Tue Jan 15 12:15:50 2013
@@ -55,6 +55,9 @@ This is a minor release: It combines bug
Changes to existing features were made in a backwards-compatible
way such as to allow drop-in replacement of the v3.1[.1] JAR file.
">
+ <action dev="erans" type="fix" issue="MATH-929" due-to="Piotr Wydrych">
+ Fixed truncated value in "MultivariateNormalDistribution".
+ </action>
<action dev="erans" type="fix" issue="MATH-927" due-to="Dennis Hendriks">
Made "BitStreamGenerator" implement the "Serializable" interface.
</action>
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java?rev=1433367&r1=1433366&r2=1433367&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/distribution/MultivariateNormalDistribution.java Tue Jan 15 12:15:50 2013
@@ -180,7 +180,7 @@ public class MultivariateNormalDistribut
throw new DimensionMismatchException(vals.length, dim);
}
- return FastMath.pow(2 * FastMath.PI, -dim / 2) *
+ return FastMath.pow(2 * FastMath.PI, -0.5 * dim) *
FastMath.pow(covarianceMatrixDeterminant, -0.5) *
getExponentTerm(vals);
}
Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java?rev=1433367&r1=1433366&r2=1433367&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math3/distribution/MultivariateNormalDistributionTest.java Tue Jan 15 12:15:50 2013
@@ -20,6 +20,7 @@ package org.apache.commons.math3.distrib
import org.apache.commons.math3.stat.correlation.Covariance;
import org.apache.commons.math3.linear.RealMatrix;
+import java.util.Random;
import org.junit.After;
import org.junit.Assert;
import org.junit.Before;
@@ -130,4 +131,24 @@ public class MultivariateNormalDistribut
Assert.assertEquals(correctDensities[i], densities[i], 1e-16);
}
}
+
+ /**
+ * Test the accuracy of the distribution when calculating densities.
+ */
+ @Test
+ public void testUnivariateDistribution() {
+ final double[] mu = { -1.5 };
+ final double[][] sigma = { { 1 } };
+
+ final MultivariateNormalDistribution multi = new MultivariateNormalDistribution(mu, sigma);
+
+ final NormalDistribution uni = new NormalDistribution(mu[0], sigma[0][0]);
+ final Random rng = new Random();
+ final int numCases = 100;
+ final double tol = Math.ulp(1d);
+ for (int i = 0; i < numCases; i++) {
+ final double v = rng.nextDouble() * 10 - 5;
+ Assert.assertEquals(uni.density(v), multi.density(new double[] { v }), tol);
+ }
+ }
}