[SciPy-Dev] Random matrices

[Robert Kern]

On Wed, Oct 28, 2015 at 12:12 PM, Philip DeBoer <philip.deboer at 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
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