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Subject: Re: [boost] math statistical distribution: multivariate gaussian
From: Thijs van den Berg (thijs_at_[hidden])
Date: 2008-11-19 13:24:43

John Maddock wrote:
> Thijs van den Berg wrote:
>>>> There's nothing in development at present (that I know of), so a
>>>> submission would certainly be welcome.
>>>> The main open issue IMO is getting the interface right for the
>>>> mutivariate case.
>>> Yes, exactly, the interface is one of the main reason for me to team
>>> up
>>> with C++ pears, to try and get that right. That a thing where
>>> feedback
>>> is very helpful!
> Nod.
>>> As I see it, there are a couple of interface issue:
>>> * containers for the multivariate parameters (vectors and matrices)
>>> and operators on those containers -inverse of a matrix-
> Can we not define a *Concept* for multivariate parameters, and convert
> them internally to whatever internal representation is used?
Yes, that would be the most flexible approach, separating containers
from algorithm acting upon them!
> Boost.uBlas has matrix inversion (via LU decomposition), but it's not
> necessarily all that stable :-( Is matrix inversion really necessary?
It could indeed be the case that inversion is not needed. It all depends
on the type of functions what will be supported. I know of some who *do*
need inversion.
>>> * specifying generic functions/properties of multivariate densities,
>>> that would apply to *any* multivariate density
> Nod. The list that applies to the univariate densities in Boost.Math
> would be a good place to start, modulo the ones that cannot be
> implemented in the multivariate case (quantile for example).
Yes. that would be a very good start. I'll do that.
> Ask here for comments on the design right here: it helps a great deal
> to have some docs at this point, as it's easier for folks to get their
> heads around. You're also most welcome to fly your ideas past myself,
> Paul (Bristow), and whoever else volunteers first of course :-)
Thanks! The docs will be someting I'm going to start on tomorrow. What
is a good doc format, and what are good tools for that format?

> Cheers, John.
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