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

[Alexander Dietz]

Hi,


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
>
>
> 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.



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
link.
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...

Cheers
 Alex

-- mj
>