image thumbnail

Sample a truncated multivariate normal distribution

version 1.0.0 (1.56 KB) by Yavor Kamer
Generates samples from a MVN within a lower and upper bound.


Updated 24 Oct 2018

View License

There exist many implementations on FEX solving the same problem, I wasn't very confident in using them as they sometimes failed to converge (using fsolve etc) or would generate warnings complaining about the covariance matrix being close to singular.
This is a simple brute-force method that records the accepted samples, adjusts the trial size and repeats until it has reached the target sample number.

Cite As

Yavor Kamer (2022). Sample a truncated multivariate normal distribution (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!