Hi,
On Thu, 22 Oct 2009 21:19:02 -0500
Misha Koshelev <[email protected]> wrote:
> I am new to GSL and have already found that, while trying to convert
> a MATLAB Gibbs sampler to C, there is no function to sample a
> multivariate normal in GSL.
>
> I have found several posts on this list that suggest such a feature
> will not be added at the moment.
>
> Are there any libraries in C or C++ that might support this? Any
> links much appreciated.
TRNG [1] is a C++ library for pseudorandom numbers. It also implements
sampling from multivariate normal distribution, see the documentation
and correlated_normal_dist.cc in the example folder of the source
distribution how to use this feature.
Heiko
[1] http://trng.berlios.de/
--
-- Ein Diplomat ist ein Gentleman, der zweimal überlegt, bevor er nichts
-- sagt. (John Steinbeck)
-- Cluster Computing @ http://www.clustercomputing.de
-- Heiko Bauke @ http://www.mpi-hd.mpg.de/personalhomes/bauke
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