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Generalize covariance RNG type #450

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Sep 5, 2023
Merged

Generalize covariance RNG type #450

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23 changes: 12 additions & 11 deletions include/albatross/src/utils/random_utils.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -100,10 +100,10 @@ void gaussian_fill(Eigen::Matrix<_Scalar, _Rows, _Cols> &matrix) {
gaussian_fill(matrix, 0., 1., rng);
}

template <typename Distribution>
template <typename Distribution, typename RandomNumberGenerator>
inline Eigen::MatrixXd
random_covariance_matrix(Eigen::Index k, Distribution &eigen_value_distribution,
std::default_random_engine &gen) {
RandomNumberGenerator &gen) {

Eigen::MatrixXd Q(k, k);
gaussian_fill(Q, gen);
Expand All @@ -116,16 +116,17 @@ random_covariance_matrix(Eigen::Index k, Distribution &eigen_value_distribution,
return Q * diag.asDiagonal() * Q.transpose();
}

inline Eigen::MatrixXd
random_covariance_matrix(Eigen::Index k, std::default_random_engine &gen) {
template <typename RandomNumberGenerator>
inline Eigen::MatrixXd random_covariance_matrix(Eigen::Index k,
RandomNumberGenerator &gen) {
std::gamma_distribution<double> distribution(1.0, 1.0);
return random_covariance_matrix(k, distribution, gen);
}

inline Eigen::VectorXd
random_multivariate_normal(const Eigen::VectorXd &mean,
const Eigen::MatrixXd &cov,
std::default_random_engine &gen) {
template <typename RandomNumberGenerator>
inline Eigen::VectorXd random_multivariate_normal(const Eigen::VectorXd &mean,
const Eigen::MatrixXd &cov,
RandomNumberGenerator &gen) {
std::normal_distribution<double> dist;
ALBATROSS_ASSERT(mean.size() == cov.rows());
ALBATROSS_ASSERT(cov.rows() == cov.cols());
Expand All @@ -140,9 +141,9 @@ random_multivariate_normal(const Eigen::VectorXd &mean,
return sample;
}

inline Eigen::VectorXd
random_multivariate_normal(const Eigen::MatrixXd &cov,
std::default_random_engine &gen) {
template <typename RandomNumberGenerator>
inline Eigen::VectorXd random_multivariate_normal(const Eigen::MatrixXd &cov,
RandomNumberGenerator &gen) {
return random_multivariate_normal(Eigen::VectorXd::Zero(cov.rows()), cov,
gen);
}
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