06 Nov 2002
02 Dec 2002)
Pattern analysis toolbox.
|gsamp(mu, covar, nsamp)
function x = gsamp(mu, covar, nsamp)
%GSAMP Sample from a Gaussian distribution.
% X = GSAMP(MU, COVAR, NSAMP) generates a sample of size NSAMP from a
% D-dimensional Gaussian distribution. The Gaussian density has mean
% vector MU and covariance matrix COVAR, and the matrix X has NSAMP
% rows in which each row represents a D-dimensional sample vector.
% See also
% GAUSS, DEMGAUSS
% Copyright (c) Ian T Nabney (1996-2001)
d = size(covar, 1);
mu = reshape(mu, 1, d); % Ensure that mu is a row vector
[evec, eval] = eig(covar);
coeffs = randn(nsamp, d)*sqrt(eval);
x = ones(nsamp, 1)*mu + coeffs*evec';