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Re: [Help-gsl] Question to random number generation

From: Alexander Dietz
Subject: Re: [Help-gsl] Question to random number generation
Date: Thu, 17 May 2007 19:28:36 +0100


On 5/17/07, Martin Jansche <address@hidden> wrote:

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

for the general idea, and gsl_linalg_cholesky_decomp() for the
Cholesky decomposition.

Thanks for this link, I already took a look at this description. I just
wonder how to code it up properly with gsl. I know that in some cases the
matrix you put in to a function gets overwritten(?), so I wonder if someone
has a piece of code that does exactly what is described in the wikipedia
Also, when I use the gsl call for the decomposition
(gsl_linalg_cholesky_decomp()) is only the upper left of the actual
decomposition returned or the full matrix? It seems to me that only a half
is returned and I have to fill 'by hand' the other half of the matrix.
I would be grateful for any more help...


-- mj

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