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data/.github/workflows/ruby.yml ADDED
@@ -0,0 +1,20 @@
1
+ name: Ruby
2
+
3
+ on: [push]
4
+
5
+ jobs:
6
+ build:
7
+
8
+ runs-on: ubuntu-latest
9
+
10
+ steps:
11
+ - uses: actions/checkout@v1
12
+ - name: Set up Ruby 2.6
13
+ uses: actions/setup-ruby@v1
14
+ with:
15
+ ruby-version: 2.6.x
16
+ - name: Build and test with Rake
17
+ run: |
18
+ gem install bundler
19
+ bundle install --jobs 4 --retry 3
20
+ bundle exec rake
data/.gitignore ADDED
@@ -0,0 +1,8 @@
1
+ /.bundle/
2
+ /.yardoc
3
+ /_yardoc/
4
+ /coverage/
5
+ /doc/
6
+ /pkg/
7
+ /spec/reports/
8
+ /tmp/
data/CODE_OF_CONDUCT.md ADDED
@@ -0,0 +1,74 @@
1
+ # Contributor Covenant Code of Conduct
2
+
3
+ ## Our Pledge
4
+
5
+ In the interest of fostering an open and welcoming environment, we as
6
+ contributors and maintainers pledge to making participation in our project and
7
+ our community a harassment-free experience for everyone, regardless of age, body
8
+ size, disability, ethnicity, gender identity and expression, level of experience,
9
+ nationality, personal appearance, race, religion, or sexual identity and
10
+ orientation.
11
+
12
+ ## Our Standards
13
+
14
+ Examples of behavior that contributes to creating a positive environment
15
+ include:
16
+
17
+ * Using welcoming and inclusive language
18
+ * Being respectful of differing viewpoints and experiences
19
+ * Gracefully accepting constructive criticism
20
+ * Focusing on what is best for the community
21
+ * Showing empathy towards other community members
22
+
23
+ Examples of unacceptable behavior by participants include:
24
+
25
+ * The use of sexualized language or imagery and unwelcome sexual attention or
26
+ advances
27
+ * Trolling, insulting/derogatory comments, and personal or political attacks
28
+ * Public or private harassment
29
+ * Publishing others' private information, such as a physical or electronic
30
+ address, without explicit permission
31
+ * Other conduct which could reasonably be considered inappropriate in a
32
+ professional setting
33
+
34
+ ## Our Responsibilities
35
+
36
+ Project maintainers are responsible for clarifying the standards of acceptable
37
+ behavior and are expected to take appropriate and fair corrective action in
38
+ response to any instances of unacceptable behavior.
39
+
40
+ Project maintainers have the right and responsibility to remove, edit, or
41
+ reject comments, commits, code, wiki edits, issues, and other contributions
42
+ that are not aligned to this Code of Conduct, or to ban temporarily or
43
+ permanently any contributor for other behaviors that they deem inappropriate,
44
+ threatening, offensive, or harmful.
45
+
46
+ ## Scope
47
+
48
+ This Code of Conduct applies both within project spaces and in public spaces
49
+ when an individual is representing the project or its community. Examples of
50
+ representing a project or community include using an official project e-mail
51
+ address, posting via an official social media account, or acting as an appointed
52
+ representative at an online or offline event. Representation of a project may be
53
+ further defined and clarified by project maintainers.
54
+
55
+ ## Enforcement
56
+
57
+ Instances of abusive, harassing, or otherwise unacceptable behavior may be
58
+ reported by contacting the project team at dev.kuro.obi@gmail.com. All
59
+ complaints will be reviewed and investigated and will result in a response that
60
+ is deemed necessary and appropriate to the circumstances. The project team is
61
+ obligated to maintain confidentiality with regard to the reporter of an incident.
62
+ Further details of specific enforcement policies may be posted separately.
63
+
64
+ Project maintainers who do not follow or enforce the Code of Conduct in good
65
+ faith may face temporary or permanent repercussions as determined by other
66
+ members of the project's leadership.
67
+
68
+ ## Attribution
69
+
70
+ This Code of Conduct is adapted from the [Contributor Covenant][homepage], version 1.4,
71
+ available at [http://contributor-covenant.org/version/1/4][version]
72
+
73
+ [homepage]: http://contributor-covenant.org
74
+ [version]: http://contributor-covenant.org/version/1/4/
data/Gemfile ADDED
@@ -0,0 +1,6 @@
1
+ source "https://rubygems.org"
2
+
3
+ git_source(:github) {|repo_name| "https://github.com/#{repo_name}" }
4
+
5
+ # Specify your gem's dependencies in random_multivariate_normal.gemspec
6
+ gemspec
data/LICENSE.txt ADDED
@@ -0,0 +1,21 @@
1
+ The MIT License (MIT)
2
+
3
+ Copyright (c) 2020 monochromegane
4
+
5
+ Permission is hereby granted, free of charge, to any person obtaining a copy
6
+ of this software and associated documentation files (the "Software"), to deal
7
+ in the Software without restriction, including without limitation the rights
8
+ to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
9
+ copies of the Software, and to permit persons to whom the Software is
10
+ furnished to do so, subject to the following conditions:
11
+
12
+ The above copyright notice and this permission notice shall be included in
13
+ all copies or substantial portions of the Software.
14
+
15
+ THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
16
+ IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
17
+ FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
18
+ AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
19
+ LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
20
+ OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
21
+ THE SOFTWARE.
data/README.md ADDED
@@ -0,0 +1,46 @@
1
+ # RandomMultivariateNormal [![Actions Status](https://github.com/monochromegane/random_multivariate_normal/workflows/Ruby/badge.svg)](https://github.com/monochromegane/random_multivariate_normal/actions)
2
+
3
+ Random number generator from a multivariate normal distribution.
4
+
5
+ ## Usage
6
+
7
+ ```rb
8
+ mean = Vector[-5.0, 5.0]
9
+ cov = Matrix[[10, 0.5], [0.5, 0.1]]
10
+
11
+ RandomMultivariateNormal.new.rand(mean, cov)
12
+ ```
13
+
14
+ ## Installation
15
+
16
+ Add this line to your application's Gemfile:
17
+
18
+ ```ruby
19
+ gem 'random_multivariate_normal'
20
+ ```
21
+
22
+ And then execute:
23
+
24
+ $ bundle
25
+
26
+ Or install it yourself as:
27
+
28
+ $ gem install random_multivariate_normal
29
+
30
+ ## Development
31
+
32
+ After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake test` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
33
+
34
+ To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
35
+
36
+ ## Contributing
37
+
38
+ Bug reports and pull requests are welcome on GitHub at https://github.com/monochromegane/random_multivariate_normal. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [Contributor Covenant](http://contributor-covenant.org) code of conduct.
39
+
40
+ ## License
41
+
42
+ The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).
43
+
44
+ ## Code of Conduct
45
+
46
+ Everyone interacting in the RandomMultivariateNormal project’s codebases, issue trackers, chat rooms and mailing lists is expected to follow the [code of conduct](https://github.com/monochromegane/random_multivariate_normal/blob/master/CODE_OF_CONDUCT.md).
data/Rakefile ADDED
@@ -0,0 +1,10 @@
1
+ require "bundler/gem_tasks"
2
+ require "rake/testtask"
3
+
4
+ Rake::TestTask.new(:test) do |t|
5
+ t.libs << "test"
6
+ t.libs << "lib"
7
+ t.test_files = FileList["test/**/*_test.rb"]
8
+ end
9
+
10
+ task :default => :test
data/bin/console ADDED
@@ -0,0 +1,14 @@
1
+ #!/usr/bin/env ruby
2
+
3
+ require "bundler/setup"
4
+ require "random_multivariate_normal"
5
+
6
+ # You can add fixtures and/or initialization code here to make experimenting
7
+ # with your gem easier. You can also use a different console, if you like.
8
+
9
+ # (If you use this, don't forget to add pry to your Gemfile!)
10
+ # require "pry"
11
+ # Pry.start
12
+
13
+ require "irb"
14
+ IRB.start(__FILE__)
data/bin/setup ADDED
@@ -0,0 +1,8 @@
1
+ #!/usr/bin/env bash
2
+ set -euo pipefail
3
+ IFS=#x27;\n\t'
4
+ set -vx
5
+
6
+ bundle install
7
+
8
+ # Do any other automated setup that you need to do here
data/lib/random_multivariate_normal.rb ADDED
@@ -0,0 +1,48 @@
1
+ require 'matrix'
2
+ require "random_multivariate_normal/version"
3
+
4
+ class RandomMultivariateNormal
5
+ def initialize(seed = Random.new_seed)
6
+ @rnd = Random.new(seed)
7
+ end
8
+
9
+ def rand(mean, cov)
10
+ rand_multivariate_norm(@rnd, mean, cov)
11
+ end
12
+
13
+ private
14
+
15
+ def rand_multivariate_norm(rnd, mu, cov)
16
+ z = Vector[*mu.size.times.map{rand_norm(rnd)}]
17
+ l = cholesky_foctor(cov)
18
+ l*z+mu
19
+ end
20
+
21
+ def rand_norm(rnd)
22
+ box_muller(rnd.rand, rnd.rand)[0]
23
+ end
24
+
25
+ def box_muller(x, y)
26
+ z1 = Math.sqrt(-2 * Math.log(x)) * Math.cos(2 * Math::PI * y)
27
+ z2 = Math.sqrt(-2 * Math.log(x)) * Math.sin(2 * Math::PI * y)
28
+ [z1, z2]
29
+ end
30
+
31
+ def cholesky_foctor(mat)
32
+ raise ArgumentError.new('Not symmetric matrix') unless mat.symmetric?
33
+ raise ArgumentError.new('Not positive definite matrix') unless mat.eigen.d.each(:diagonal).all?{|d| d > 0.0}
34
+
35
+ l = Matrix.zero(mat.row_size)
36
+ mat.each_with_index do |e, row, col|
37
+ lij = if row == col
38
+ Math.sqrt(mat[col, col] - col.times.inject(0){|sum, j| sum + (l[col, j] ** 2)})
39
+ elsif row > col
40
+ (1.0/l[col, col]) * (mat[row, col] - col.times.inject(0){|sum, j| sum + l[row, j] * l[col, j]})
41
+ else
42
+ 0.0
43
+ end
44
+ l[row, col] = lij
45
+ end
46
+ l
47
+ end
48
+ end
data/lib/random_multivariate_normal/version.rb ADDED
@@ -0,0 +1,3 @@
1
+ class RandomMultivariateNormal
2
+ VERSION = "0.1.0"
3
+ end
data/random_multivariate_normal.gemspec ADDED
@@ -0,0 +1,29 @@
1
+
2
+ lib = File.expand_path("../lib", __FILE__)
3
+ $LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
4
+ require "random_multivariate_normal/version"
5
+
6
+ Gem::Specification.new do |spec|
7
+ spec.name = "random_multivariate_normal"
8
+ spec.version = RandomMultivariateNormal::VERSION
9
+ spec.authors = ["monochromegane"]
10
+ spec.email = ["dev.kuro.obi@gmail.com"]
11
+
12
+ spec.summary = %q{Random number generator from a multivariate normal distribution.}
13
+ spec.description = %q{Random number generator from a multivariate normal distribution.}
14
+ spec.homepage = "https://github.com/monochromegane/random_multivariate_normal"
15
+ spec.license = "MIT"
16
+
17
+ # Specify which files should be added to the gem when it is released.
18
+ # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
19
+ spec.files = Dir.chdir(File.expand_path('..', __FILE__)) do
20
+ `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
21
+ end
22
+ spec.bindir = "exe"
23
+ spec.executables = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
24
+ spec.require_paths = ["lib"]
25
+
26
+ spec.add_development_dependency "bundler"
27
+ spec.add_development_dependency "rake", "~> 10.0"
28
+ spec.add_development_dependency "minitest", "~> 5.0"
29
+ end
metadata ADDED
@@ -0,0 +1,97 @@
1
+ --- !ruby/object:Gem::Specification
2
+ name: random_multivariate_normal
3
+ version: !ruby/object:Gem::Version
4
+ version: 0.1.0
5
+ platform: ruby
6
+ authors:
7
+ - monochromegane
8
+ autorequire:
9
+ bindir: exe
10
+ cert_chain: []
11
+ date: 2020-01-14 00:00:00.000000000 Z
12
+ dependencies:
13
+ - !ruby/object:Gem::Dependency
14
+ name: bundler
15
+ requirement: !ruby/object:Gem::Requirement
16
+ requirements:
17
+ - - ">="
18
+ - !ruby/object:Gem::Version
19
+ version: '0'
20
+ type: :development
21
+ prerelease: false
22
+ version_requirements: !ruby/object:Gem::Requirement
23
+ requirements:
24
+ - - ">="
25
+ - !ruby/object:Gem::Version
26
+ version: '0'
27
+ - !ruby/object:Gem::Dependency
28
+ name: rake
29
+ requirement: !ruby/object:Gem::Requirement
30
+ requirements:
31
+ - - "~>"
32
+ - !ruby/object:Gem::Version
33
+ version: '10.0'
34
+ type: :development
35
+ prerelease: false
36
+ version_requirements: !ruby/object:Gem::Requirement
37
+ requirements:
38
+ - - "~>"
39
+ - !ruby/object:Gem::Version
40
+ version: '10.0'
41
+ - !ruby/object:Gem::Dependency
42
+ name: minitest
43
+ requirement: !ruby/object:Gem::Requirement
44
+ requirements:
45
+ - - "~>"
46
+ - !ruby/object:Gem::Version
47
+ version: '5.0'
48
+ type: :development
49
+ prerelease: false
50
+ version_requirements: !ruby/object:Gem::Requirement
51
+ requirements:
52
+ - - "~>"
53
+ - !ruby/object:Gem::Version
54
+ version: '5.0'
55
+ description: Random number generator from a multivariate normal distribution.
56
+ email:
57
+ - dev.kuro.obi@gmail.com
58
+ executables: []
59
+ extensions: []
60
+ extra_rdoc_files: []
61
+ files:
62
+ - ".github/workflows/ruby.yml"
63
+ - ".gitignore"
64
+ - CODE_OF_CONDUCT.md
65
+ - Gemfile
66
+ - LICENSE.txt
67
+ - README.md
68
+ - Rakefile
69
+ - bin/console
70
+ - bin/setup
71
+ - lib/random_multivariate_normal.rb
72
+ - lib/random_multivariate_normal/version.rb
73
+ - random_multivariate_normal.gemspec
74
+ homepage: https://github.com/monochromegane/random_multivariate_normal
75
+ licenses:
76
+ - MIT
77
+ metadata: {}
78
+ post_install_message:
79
+ rdoc_options: []
80
+ require_paths:
81
+ - lib
82
+ required_ruby_version: !ruby/object:Gem::Requirement
83
+ requirements:
84
+ - - ">="
85
+ - !ruby/object:Gem::Version
86
+ version: '0'
87
+ required_rubygems_version: !ruby/object:Gem::Requirement
88
+ requirements:
89
+ - - ">="
90
+ - !ruby/object:Gem::Version
91
+ version: '0'
92
+ requirements: []
93
+ rubygems_version: 3.0.3
94
+ signing_key:
95
+ specification_version: 4
96
+ summary: Random number generator from a multivariate normal distribution.
97
+ test_files: []