On Wed, Oct 28, 2015 at 12:12 PM, Philip DeBoer <philip.deboer@gmail.com> wrote:

I would like to expose an interface for random matrix generation on

scipy, in particular, SO(N) and O(N) functionality. I wrote some code to generate random correlation matrices that could also be exposed. These seem like basic multi-dimensional results that would be useful in a wide variety of situations.

There is a "random_rot" function generating SO(N) matrices in

scipy/linalg/tests/test_decomp. It has a bug that was since fixed in the MDP package from whence it came, but was never fixed in scipy. A variation of this will generate O(N) matrices, and a little more work yields random correlation matrices.

In Oct 2008 when random_rot was added, it was suggested that linalg was a

good place for these functions. Is that still the case? Or should they be somewhere in scipy.random? Do we need a new place for random matrices?

I have not contributed to scipy before. Let me know what the steps are

and I will do my best to take care of this. This could benefit a wide variety of users, and it would be good to have widely used code. We have started to add multivariate distributions to scipy.stats, so I might recommend that location, even if you just have the random generation functions and not the PDFs (though these are often just constants in these cases). https://github.com/scipy/scipy/blob/master/scipy/stats/_multivariate.py -- Robert Kern