/**
* Performs a variety of tests to see if the provided matrix is a valid
* covariance matrix.
*
* @return 0 = is valid 1 = failed positive diagonal, 2 = failed on symmetry, 2 = failed on positive definite
*/
public static int isValid(FMatrixRMaj cov)
{
if (!MatrixFeatures_FDRM.isDiagonalPositive(cov))
{
return(1);
}
if (!MatrixFeatures_FDRM.isSymmetric(cov, TOL))
{
return(2);
}
if (!MatrixFeatures_FDRM.isPositiveSemidefinite(cov))
{
return(3);
}
return(0);
}
/**
* This is a fairly light weight check to see of a covariance matrix is valid.
* It checks to see if the diagonal elements are all positive, which they should be
* if it is valid. Not all invalid covariance matrices will be caught by this method.
*
* @return true if valid and false if invalid
*/
public static bool isValidFast(FMatrixRMaj cov)
{
return(MatrixFeatures_FDRM.isDiagonalPositive(cov));
}