Set coefficients of an Eigen::Matrix according an arbitrary distribution

Question

Eigen::Matrix has a setRandom() method which will set all coefficients of the matrix to random values. However, is there a built in way to set all the matrix coefficients to random values while specifying the distribution to use.

Is there a way to achieve something like the following:

Eigen::Matrix3f myMatrix;
std::tr1::mt19937 gen;
std::tr1::uniform_int<int> dist(0,MT_MAX);
myMatrix.setRandom(dist(gen));

Answer 1

You can do what you want using Boost and unaryExpr. The function you pass to unaryExpr needs to accept a dummy input which you can just ignore.

#include <boost/random.hpp>
#include <boost/random/normal_distribution.hpp>
#include <iostream>
#include <Eigen/Dense>

using namespace std;
using namespace boost;
using namespace Eigen;

double sample(double dummy)
{
  static mt19937 rng;
  static normal_distribution<> nd(3.0,1.0);
  return nd(rng);
}

int main()
{
  MatrixXd m =MatrixXd::Zero(2,3).unaryExpr(ptr_fun(sample));
  cout << m << endl;
  return 0;
}