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

[Martin Jansche]

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