mmvnpdfC {NPflow}

C++ implementation of multivariate Normal probability density function for multiple inputs

Description

C++ implementation of multivariate Normal probability density function for multiple inputs

Usage

mmvnpdfC(x, mean, varcovM, Log = TRUE)

Arguments

x

data matrix of dimension p x n, p being the dimension of the data and n the number of data points.

mean

mean vectors matrix of dimension p x K, K being the number of distributions for which the density probability has to be evaluated.

varcovM

list of length K of variance-covariance matrices, each of dimensions p x p.

Log

logical flag for returning the log of the probability density function. Defaults is TRUE.

Value

matrix of densities of dimension K x n.

Examples

if(require(microbenchmark)){
library(microbenchmark)
microbenchmark(mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               mmvnpdfC(x=matrix(1.96), mean=matrix(0), varcovM=list(diag(1)), Log=FALSE),
               times=1000L)
microbenchmark(mvnpdf(x=matrix(rep(1.96,2), nrow=2, ncol=1), mean=c(-0.2, 0.3),
                      varcovM=matrix(c(2, 0.2, 0.2, 2), ncol=2), Log=FALSE),
               mvnpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1), mean=c(-0.2, 0.3),
                       varcovM=matrix(c(2, 0.2, 0.2, 2), ncol=2), Log=FALSE),
               mmvnpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
                        mean=matrix(c(-0.2, 0.3), nrow=2, ncol=1),
                        varcovM=list(matrix(c(2, 0.2, 0.2, 2), ncol=2)), Log=FALSE),
               times=1000L)
microbenchmark(mvnpdf(x=matrix(c(rep(1.96,2),rep(0,2)), nrow=2, ncol=2),
                      mean=list(c(0,0),c(-1,-1), c(1.5,1.5)),
                      varcovM=list(diag(2),10*diag(2), 20*diag(2)), Log=FALSE),
               mmvnpdfC(matrix(c(rep(1.96,2),rep(0,2)), nrow=2, ncol=2),
                        mean=matrix(c(0,0,-1,-1, 1.5,1.5), nrow=2, ncol=3),
                        varcovM=list(diag(2),10*diag(2), 20*diag(2)), Log=FALSE),
               times=1000L)
}else{
cat("package 'microbenchmark' not available\n")
}