void RandomGaussianMV(TMtx *Dst, TVec *Mean, TMtx *Sigma, const TGaussRandMethod Method = TGaussRandMethod::grmBoxMuller);
Generates random numbers from multivariate normal distribution.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Dst | TMtx * | |
| 2 | Mean | TVec * | |
| 3 | Sigma | TMtx * | |
| 4 | Method = TGaussRandMethod::grmBoxMuller | const TGaussRandMethod |
Remarks:
The function generates random numbers with d-variate normal (Gaussian) distribution with Mean value and variance-covariance matrix Sigma, where Sigma is a dxd symmetric positive-definite matrix in full storage. The number of d-dimensional vectors to be generated is defined with Dst.Rows, the dimension d with Dst.Cols. Mean must be equal to Dst.Cols and Sigma.Rows and Sigma.Cols also equal to Dst.Cols.
Declared in Dew::Math::TRngStream · Dew.Math/RndGenerators.h · Cross-compiler