Random number functionality and matrix exponentials - Githubissues

swift-nav / plover

Plover is a language for matrix algebra on embedded systems.

http://swift-nav.github.io/plover

MIT License

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Random number functionality and matrix exponentials #55

Open annius opened 8 years ago

annius commented 8 years ago

@scottswift @peddie

Once I'm done with the hackathon I thought I might extend plover functionality for random numbers (could be useful for Monte Carlo tests).

sampling from normal distributions using Box-Muller (more efficient in comparison with rejection sampling)
sampling from discrete PDFs

Also the following (I have a C implementation sitting somewhere)

Matrix exponential (using Pade approximations, like MATLAB does), c.f. "19 Dubious Ways..." http://epubs.siam.org/doi/abs/10.1137/S00361445024180