C++11 multivariate normal distribution sampling using Eigen matrices
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
LICENSE
README.md
eigenmvn.h
te.png
test_eigenmvn.cc

README.md

eigenmvn

Multivariate Normal distribution sampling using C++11 and Eigen matrices.

This is taken from http://stackoverflow.com/questions/16361226/error-while-creating-object-from-templated-class (also see http://lost-found-wandering.blogspot.fr/2011/05/sampling-from-multivariate-normal-in-c.html)

I have been unable to contact the original author, and I've performed the following modifications to the original code:

Usage

Compile the test exe with

g++ -I/usr/include -I/usr/include/eigen3 -g -std=c++11 test_eigenmvn.cc -o te

run with

./te

Look at results with gnuplot:

gnuplot
plot 'samples_solver.txt', 'samples_cholesky.txt'

alt text