def drawNormalLognormalPoints(numSamples,muN,sigmaN,muLNn,sigmaLNn,rhon):
"""Return sample points from a non-standard normal-lognormal PDF."""
from mc_utilities import drawStdNormalPoints
from numpy import zeros, exp, dot, copy
from numpy.linalg import cholesky
stdNormalPoints = zeros((numSamples,2))
stdNormalPoints[:,0] = drawStdNormalPoints(numSamples)
stdNormalPoints[:,1] = drawStdNormalPoints(numSamples)
covarMatn = [ [sigmaN**2, rhon*sigmaN*sigmaLNn],
[rhon*sigmaN*sigmaLNn, sigmaLNn**2]
]
LCholesky = cholesky(covarMatn)
# normalPoints = dot(stdNormalPoints, LCholesky) + [muN, muLNn]
normalPoints = dot(stdNormalPoints, LCholesky.T) + [muN, muLNn]
# pdb.set_trace()
normalLognormalPoints = copy(normalPoints)
normalLognormalPoints[:,1] = exp(normalLognormalPoints[:,1])
return normalLognormalPoints
def drawNormalPoints(numSamples,mu,sigma):
from mc_utilities import drawStdNormalPoints
StdNormalPoints = drawStdNormalPoints(numSamples)
return mu + sigma*StdNormalPoints