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From: ImageAnalyst <imageanalyst@mailinator.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Generating random numbers for correlated variables
Date: Tue, 27 Jan 2009 08:02:24 -0800 (PST)
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Xref: news.mathworks.com comp.soft-sys.matlab:514272

Not an answer to your question, but related, and some people might
want to check it out.  Microsoft has posted MATLAB code on
http://research.microsoft.com/en-us/downloads/db1653f0-1308-4b45-b358-d8e1011385a0/default.aspx

Here is their description:

Fast subroutines for Matlab programs
This library provides highly optimized versions of primitive functions
such as repmat, set intersection, and gammaln. It provides efficient
random number generators and evaluation of common probability
densities. It provides routines for counting floating-point operations
(FLOPS), useful for benchmarking algorithms. There are also some
useful utilities such as filename globbing and parsing of variable-
length argument lists.