[Help-gsl] Re: sampling multivariate gaussian/normal distribution - hints

[Heiko Bauke]

Hi,

On Thu, 22 Oct 2009 21:19:02 -0500
Misha Koshelev <address@hidden> wrote:

> I am new to GSL and have already found that, while trying to convert
> a MATLAB Gibbs sampler to C, there is no function to sample a
> multivariate normal in GSL.
> 
> I have found several posts on this list that suggest such a feature
> will not be added at the moment.
> 
> Are there any libraries in C or C++ that might support this? Any
> links much appreciated.

TRNG [1] is a C++ library for pseudorandom numbers. It also implements
sampling from multivariate normal distribution, see the documentation
and correlated_normal_dist.cc in the example folder of the source
distribution how to use this feature.


        Heiko


[1] http://trng.berlios.de/

-- 
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--       Heiko Bauke @ http://www.mpi-hd.mpg.de/personalhomes/bauke