
From:  Martin Jansche 
Subject:  Re: [Helpgsl] Question to random number generation 
Date:  Thu, 17 May 2007 14:23:07 0400 
On 5/17/07, Alexander Dietz <address@hidden> wrote:
I would like to draw numbers from a multivariate Gaussian distribution, given a covariance matrix. Is there such a function that can do this?
There is no such function in GSL, but all the ingredients are there. See http://en.wikipedia.org/wiki/Multivariate_normal_distribution#Drawing_values_from_the_distribution for the general idea, and gsl_linalg_cholesky_decomp() for the Cholesky decomposition.  mj
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