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Make MatrixNormal sampling non-allocating #2012

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Merged
devmotion merged 6 commits into from
Nov 23, 2025
+18 −3
Merged

Make MatrixNormal sampling non-allocating #2012

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e011669
Make MatrixNormal sampling non-allocating
projekter Nov 17, 2025
e0eed80
Add test for non-allocating MatrixNormal sampling
Nov 18, 2025
d4dff6b
Update non-allocating test
projekter Nov 18, 2025
c7d49be
Fix
projekter Nov 18, 2025
c3dd3a6
Merge branch 'master' into patch-1
devmotion Nov 18, 2025
bf9f75f
Adjust allocation test to Julia <1.10.5 failure
projekter Nov 23, 2025
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8 changes: 5 additions & 3 deletions src/matrix/matrixnormal.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -122,11 +122,13 @@ end
# https://en.wikipedia.org/wiki/Matrix_normal_distribution#Drawing_values_from_the_distribution

function _rand!(rng::AbstractRNG, d::MatrixNormal, Y::AbstractMatrix)
n, p = size(d)
X = randn(rng, n, p)
randn!(rng, Y)
A = cholesky(d.U).L
B = cholesky(d.V).U
Y .= d.M .+ A * X * B
lmul!(A, Y)
rmul!(Y, B)
Y .+= d.M
return Y
end

# -----------------------------------------------------------------------------
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13 changes: 13 additions & 0 deletions test/matrixvariates.jl
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Expand Up @@ -322,6 +322,19 @@ function test_special(dist::Type{MatrixNormal})
end
end
end
@testset "Non-allocating sampling" begin
# #2012: we can sample without allocations
M, U, V = _rand_params(MatrixNormal, Float64, 5, 5)
noallocD = MatrixNormal(M, cholesky!(Symmetric(U, :L)), cholesky!(Symmetric(V, :U)))
output = Matrix{Float64}(undef, size(noallocD))
allocs = ((d, out) -> @allocated(rand!(d, out)))(noallocD, output)
# See https://github.com/JuliaStats/Distributions.jl/pull/2012#issuecomment-3566807876
if VERSION < v"1.10.5"
@test allocs <= 32
else
@test iszero(allocs)
end
end
nothing
end

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