/// <summary>
/// Creates a positive definite <c>UserDefinedMatrix</c> with random values.
/// </summary>
/// <param name="order">The order of the matrix.</param>
/// <returns>A positive definite <c>UserDefinedMatrix</c> with the given order and random values.</returns>
public static Matrix <double> GenerateRandomPositiveDefiniteUserDefinedMatrix(int order)
{
// Fill a matrix with standard random numbers.
var normal = new Normal(new MersenneTwister(1));
var matrixA = new UserDefinedMatrix(order);
for (var i = 0; i < order; i++)
{
for (var j = 0; j < order; j++)
{
matrixA[i, j] = normal.Sample();
}
}
// Generate a matrix which is positive definite.
return(matrixA.Transpose() * matrixA);
}
/// <summary>
/// Creates a positive definite <c>UserDefinedMatrix</c> with random values.
/// </summary>
/// <param name="order">The order of the matrix.</param>
/// <returns>A positive definite <c>UserDefinedMatrix</c> with the given order and random values.</returns>
public static Matrix<double> GenerateRandomPositiveDefiniteUserDefinedMatrix(int order)
{
// Fill a matrix with standard random numbers.
var normal = new Normal(new MersenneTwister(1));
var matrixA = new UserDefinedMatrix(order);
for (var i = 0; i < order; i++)
{
for (var j = 0; j < order; j++)
{
matrixA[i, j] = normal.Sample();
}
}
// Generate a matrix which is positive definite.
return matrixA.Transpose()*matrixA;
}
public static Matrix GenerateRandomPositiveDefiniteUserDefinedMatrix(int order)
{
// Fill a matrix with standard random numbers.
var normal = new Distributions.Normal();
normal.RandomSource = new Random.MersenneTwister(1);
var A = new UserDefinedMatrix(order);
for (int i = 0; i < order; i++)
{
for (int j = 0; j < order; j++)
{
A[i, j] = normal.Sample();
}
}
// Generate a matrix which is positive definite.
return A.Transpose() * A;
}
