mxnet.np.random.multivariate_normal

multivariate_normal(mean, cov, size=None, check_valid=None, tol=None)

Draw random samples from a multivariate normal distribution.

The multivariate normal, multinormal or Gaussian distribution is a generalization of the one-dimensional normal distribution to higher dimensions. Such a distribution is specified by its mean and covariance matrix. These parameters are analogous to the mean (average or “center”) and variance (standard deviation, or “width,” squared) of the one-dimensional normal distribution.

This operator is a little different from the one in official NumPy. The official NumPy operator only accepts 1-D ndarray as mean and 2-D ndarray as cov, whereas the operator in MXNet np supports batch operation and auto-broadcasting.

Both mean and cov may have any number of leading dimensions, which correspond to a batch shape. They are not necessarily assumed to have the same batch shape, just ones which can be broadcasted.

Parameters

  • mean (K-D ndarray, of shape (.., N)) – Mean of the N-dimensional distribution.

  • cov ((K+1)-D ndarray, of shape (.., N, N)) – Covariance matrix of the distribution. The last two dimensions must be symmetric and positive-semidefinite for proper sampling.

  • size (int or tuple of ints, optional) – Given a shape of, for example, (m,n,k), m*n*k identically distributed batchs of samples are generated, and packed in an m-by-n-by-k arrangement. If no shape is specified, a batch of (N-D) sample is returned.

  • check_valid ({ 'warn', 'raise', 'ignore' }, optional) – Behavior when the covariance matrix is not positive semidefinite. (Not supported)

  • tol (float, optional) – Tolerance when checking the singular values in covariance matrix. cov is cast to double before the check. (Not supported)

Returns

out – The input shape of mean and cov should satisfy the requirements of broadcasting. If the parameter size is not provided, the output shape is np.broadcast(mean.shape, cov.shape[:-1]). Otherwise, the output shape is size + np.broadcast(mean.shape, cov.shape[:-1])

Return type

ndarray

Examples

>>> mean = np.array([1, 2])
>>> cov = np.array([[1, 0], [0, 1]])
>>> x = np.random.multivariate_normal(mean, cov, (3, 3))
>>> x.shape
(3, 3, 2)

The following is probably true, given that 0.6 is roughly twice the standard deviation:

>>> list((x[0,0,:] - mean) < 0.6)
[True, True] # random

# Performs autobroadcasting when the batch shape of # mean and cov is different but compatible.

>>> mean = np.zeros((3,2)) # shape (3, 2)
>>> cov = np.array([[1, 0], [0, 100]]) # shape (2, 2)
>>> x = np.random.multivariate_normal(mean, cov)
>>> x
array([[-1.6115597 , -8.726251  ],
       [ 2.2425299 ,  2.8104177 ],
       [ 0.36229908, -8.386591  ]])