New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Re-implement multivariate normal number generation #15

Open

giovannic opened this issue Mar 26, 2020 · 1 comment

Member

giovannic commented Mar 26, 2020 •

edited

Loading

The code is currently a slightly modified randlib version.

The code:

is GPL licensed
uses floats instead of doubles
has gotos
uses linpack instead of LAPACK
recalculates the Cholesky decomposition too many times

Member Author

giovannic commented Aug 14, 2023

This implementation can also fail with negative correlations, because Cholesky decomposition requires a positive definite matrix.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment