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

From: Martin Jansche
Subject: Re: [Help-gsl] Question to random number generation
Date: Thu, 17 May 2007 20:44:27 -0400

On 5/17/07, Alexander Dietz <address@hidden> wrote:

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...

It shouldn't matter -- the result of the Cholesky decomposition is a
triangular matrix and you can then use gsl_blas_dtrmv() to multiply it
with a vector of i.i.d. standard normal variates.  A search of the
archives reveals the following code:

-- mj

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