Re: [boost] math statistical distribution: multivariate gaussian

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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