NAME

get_general_gauss_random_vector - Samples a gaussian random vector

SYNOPSIS

#include "sample/sample_gauss.h"

Example compile flags (system dependent):
  -DLINUX_X86_64 -DLINUX_X86_64_OPTERON  -DGNU_COMPILER 
   -I/home/kobus/include
   -L/home/kobus/misc/load/linux_x86_64_opteron -L/usr/lib/x86_64-linux-gnu
  -lKJB                               -lfftw3  -lgsl -lgslcblas -ljpeg  -lSVM -lstdc++                    -lpthread -lSLATEC -lg2c    -lacml -lacml_mv -lblas -lg2c      -lncursesw 


int get_general_gauss_random_vector
(
	Vector **target_vpp,
	const Vector *mu,
	const Matrix *sigma
);

DESCRIPTION

This routine generates a normally-distributed vector with mean mu and covariance matrix sigma. It obtains a standard gaussian vector using and uses the Cholesky decomposition method to convert it into one with the specified mean and covariance matrix. The first argument is the adress of the target vector. If the target vector itself is NULL, then a vector of the appropriate size is created. If the target vector is the wrong size, it is resized. Finally, if it is the right size, then the storage is recycled, as is. Kobus adds: This routine might eventually get renamed with the "mv_" prefix to be consistant with other routines in this group.

RETURNS

Returns ERROR on failure, setting the the errors string accordingly, and NO_ERROR otherwise.

get_gauss_random_vector

DISCLAIMER

This software is not adequatedly tested. It is recomended that results are checked independantly where appropriate.

AUTHOR

Ernesto Brau

DOCUMENTER