/// <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 <float> 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] = (float)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<float> GenerateRandomPositiveDefiniteUserDefinedMatrix(int order)
{
// Fill a matrix with standard random numbers.
var normal = new Normal
{
RandomSource = 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] = (float) normal.Sample();
}
}
// Generate a matrix which is positive definite.
return matrixA.Transpose()*matrixA;
}
