/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="ProductWishartOp"]/message_doc[@name="ProductAverageLogarithm(Wishart, Gamma, Wishart)"]/*'/>
public static Wishart ProductAverageLogarithm([SkipIfUniform] Wishart A, [SkipIfUniform] Gamma B, Wishart result)
{
if (B.IsPointMass)
{
return(ProductAverageLogarithm(A, B.Point, result));
}
// E[x] = E[a]*E[b]
// E[log(x)] = E[log(a)]+E[log(b)]
PositiveDefiniteMatrix m = new PositiveDefiniteMatrix(A.Dimension, A.Dimension);
A.GetMean(m);
m.Scale(B.GetMean());
double meanLogDet = A.Dimension * B.GetMeanLog() + A.GetMeanLogDeterminant();
if (m.LogDeterminant() < meanLogDet)
{
throw new MatrixSingularException(m);
}
return(Wishart.FromMeanAndMeanLogDeterminant(m, meanLogDet, result));
}
/// <include file='FactorDocs.xml' path='factor_docs/message_op_class[@name="ProductWishartOp"]/message_doc[@name="ProductAverageConditional(Wishart, PositiveDefiniteMatrix, Gamma, Gamma, Wishart)"]/*'/>
public static Wishart ProductAverageConditional(Wishart Product, PositiveDefiniteMatrix A, [SkipIfUniform] Gamma B, Gamma to_B, Wishart result)
{
if (B.IsPointMass)
{
return(ProductAverageConditional(A, B.Point, result));
}
Gamma Bpost = B * to_B;
// E[x] = a*E[b]
// E[logdet(x)] = logdet(a) + d*E[log(b)]
PositiveDefiniteMatrix m = new PositiveDefiniteMatrix(A.Rows, A.Cols);
m.SetTo(A);
m.Scale(Bpost.GetMean());
double meanLogDet = A.Rows * Bpost.GetMeanLog() + A.LogDeterminant();
if (m.LogDeterminant() < meanLogDet)
{
throw new MatrixSingularException(m);
}
Wishart.FromMeanAndMeanLogDeterminant(m, meanLogDet, result);
result.SetToRatio(result, Product);
return(result);
}