[Numpy-discussion] strange behavior of numpy.random.multivariate_normal, ticket:1842

[Pierre Haessig]

Le 16/02/2012 16:20, josef.pktd@gmail.com a écrit :
> I don't see any way to fix multivariate_normal for this case, except
> for dropping svd or for random perturbing a covariance matrix with
> multiplicity of singular values.
Hi,
I just made a quick search in what R guys are doing. It happens there 
are several codes (http://cran.r-project.org/web/views/Multivariate.html 
). For instance, mvtnorm 
(http://cran.r-project.org/web/packages/mvtnorm/index.html). I've 
attached the related function from the source code of this package.

Interestingly enough, it seems they provide 3 different methods (svd, 
eigen values, and Cholesky).
I don't have the time now to dive in the assessments of pros and cons of 
those three. Maybe one works for our problem, but I didn't check yet.

Pierre



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