linconGaussR (version 0.1)

linconGauss: Sample Gaussian distribution with linear constraints Taking truncated sample of Gaussian distribution over a linear constraint domain.

Description

Sample Gaussian distribution with linear constraints Taking truncated sample of Gaussian distribution over a linear constraint domain.

Usage

linconGauss(
  n,
  A,
  b,
  Sigma,
  mu,
  x_init = NULL,
  intersection = TRUE,
  n_retry_init = 1000,
  nskp = 5
)

Arguments

n

number of samples to take

A

a matrix with M by D dimensions, the linear constraints, such that Ax+b>=0

b

the offset of the linear constraints with dimension M such that Ax+b>=0

Sigma

covariance matrix of the Gaussian

mu

mean vector of the Gaussian

x_init

the sample to start with, if NULL, a sample will be drawn using rejection method

intersection

bool whether sample from the intersection or the union of the linear constraints, default true, sample from the intersection

n_retry_init

how many times to try finding a initial value

nskp

how many sample to skip during the sampling routine

Value

a matrix with truncated sample, row as samples

Examples

# NOT RUN {
my_sample <- linconGauss(100, diag(2),c(0,0),diag(2),c(0,0))
MASS_sample <- MASS::mvrnorm(1000,c(0,0),diag(2))
plot(MASS_sample)
points(my_sample,col = "red")
abline(h=0)
abline(v=0)

# }