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Random Matrix Generator
C++
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.gitignore
README.md
cholesky.hpp
example.cpp
inverted_matrix_variate_t_distribution.hpp
inverted_wishart_distribution.hpp
makefile
matrix_variate_t_distribution.hpp
mvn_distribution.hpp
rmg_doc.pdf
wishart_distribution.hpp

README.md

rmg

a random matrix generator, using Boost library.

Distributions

  1. Multivariate Normal Distribution
  2. Wishart Distribution
  3. Inverted Wishart Distribution
  4. Matrix variate t Distribution
  5. Inverted matrix variate t Distribution

See rmg_doc.pdf for details.

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