From dc9c74264631a80dbb718a7be4c184ccae6277c0 Mon Sep 17 00:00:00 2001
From: Travis Galoppo <tjg2107@columbia.edu>
Date: Fri, 12 Dec 2014 14:12:36 -0500
Subject: [PATCH] Moved MultivariateGaussian utility class

---
 .../stat/impl/MultivariateGaussian.scala      | 39 +++++++++++++++++++
 1 file changed, 39 insertions(+)
 create mode 100644 mllib/src/main/scala/org/apache/spark/mllib/stat/impl/MultivariateGaussian.scala

diff --git a/mllib/src/main/scala/org/apache/spark/mllib/stat/impl/MultivariateGaussian.scala b/mllib/src/main/scala/org/apache/spark/mllib/stat/impl/MultivariateGaussian.scala
new file mode 100644
index 0000000000000..ab046a3acea05
--- /dev/null
+++ b/mllib/src/main/scala/org/apache/spark/mllib/stat/impl/MultivariateGaussian.scala
@@ -0,0 +1,39 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat.impl
+
+import breeze.linalg.{DenseVector => BreezeVector, DenseMatrix => BreezeMatrix}
+import breeze.linalg.{Transpose, det, inv}
+
+/** 
+   * Utility class to implement the density function for multivariate Gaussian distribution.
+   * Breeze provides this functionality, but it requires the Apache Commons Math library,
+   * so this class is here so-as to not introduce a new dependency in Spark.
+   */
+private[mllib] class MultivariateGaussian(
+    val mu: BreezeVector[Double], 
+    val sigma: BreezeMatrix[Double]) extends Serializable {
+  private val sigmaInv2 = inv(sigma) * -0.5
+  private val U = math.pow(2.0 * math.Pi, -mu.length / 2.0) * math.pow(det(sigma), -0.5)
+    
+  def pdf(x: BreezeVector[Double]): Double = {
+    val delta = x - mu
+    val deltaTranspose = new Transpose(delta)
+    U * math.exp(deltaTranspose * sigmaInv2 * delta)
+  }
+}