Path: news.mathworks.com!not-for-mail
From: Peter Perkins <Peter.Perkins@MathRemoveThisWorks.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Conditional sampling from multivariate normal distribution
Date: Tue, 20 Apr 2010 18:38:07 -0400
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On 4/20/2010 5:46 PM, Tomaz wrote:

> sigma1_2 = sigma11 - sigma21*(sigma22\sigma12)
> ??? Error using ==> mldivide
> Matrix dimensions must agree.

My fault, I think.  All of these are equivalent:

sigma1_2 = sigma11 - sigma12*(sigma22\sigma21)
sigma1_2 = sigma11 - (sigma12/sigma22)*sigma21
sigma1_2 = sigma11 - sigma12*inv(sigma22)*sigma21