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

Warren Weckesser warren.weckesser@enthought....
Thu Feb 16 10:20:19 CST 2012

On Thu, Feb 16, 2012 at 10:12 AM, 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<http://cran.r-project.org/web/views/Multivariate.html>). For instance, mvtnorm (
> http://cran.r-project.org/**web/packages/mvtnorm/index.**html<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

For some alternatives to numpy's multivariate_normal, see
http://www.scipy.org/Cookbook/CorrelatedRandomSamples.  Both versions
(Cholesky and eigh) are just a couple lines of code.

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