added mvnpdf to miscprob.h

miscprob.cc

@@ -176,7 +176,7 @@ ReturnMatrix gammapdf(const RowVector& vals, const float mu, const float var)
   {
     return std::exp(-0.5*(std::pow(val-mu,2)/var))*std::pow(2*M_PI*var,-0.5);
   }
-
+  
 ReturnMatrix normpdf(const RowVector& vals, const RowVector& mu, const RowVector& var)
 {
   Matrix res(mu.Ncols(),vals.Ncols());
@@ -203,6 +203,11 @@ ReturnMatrix mvnrnd(const RowVector& mu, const SymmetricMatrix& covar, int nsamp
   return mvn.next(nsamp);
 }
 
+ float mvnpdf(const RowVector& vals, const RowVector& mu, const SymmetricMatrix& covar)
+ {
+   return std::exp(-0.5*((vals-mu).t()*covar.i()*(vals-mu)).AsScalar())/(std::pow(covar.Determinant(),0.5)*std::pow(2*M_PI,vals.Ncols()/2.0));
+ }
+
 // ReturnMatrix gammarnd(const int dim1, const int dim2, 
 // 			const float a, const float b)
 // {

miscprob.h

@@ -35,6 +35,8 @@ namespace MISCMATHS {
   // returns nsamps*nparams matrix:
   ReturnMatrix mvnrnd(const RowVector& mu, const SymmetricMatrix& covar, int nsamp = 1);
   
+  float mvnpdf(const RowVector& vals, const RowVector& mu, const SymmetricMatrix& covar);
+
   float normpdf(const float val, const float mu = 0, const float var = 1);
 
   ReturnMatrix normpdf(const RowVector& vals, const float mu = 0, const float var = 1);