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

[Martin Jansche]

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:

http://www.mail-archive.com/address@hidden/msg00631.html

-- mj