Eigen Namespace Reference

Classes
class	EigenMultivariateNormal

Detailed Description

Multivariate Normal distribution sampling using C++11 and Eigen matrices.

This is taken from http://stackoverflow.com/questions/16361226/error-while-creating-object-from-templated-class (also see http://lost-found-wandering.blogspot.fr/2011/05/sampling-from-multivariate-normal-in-c.html)

I have been unable to contact the original author, and I've performed the following modifications to the original code:

• removal of the dependency to Boost, in favor of straight C++11;
• ability to choose from Solver or Cholesky decomposition (supposedly faster);
• fixed Cholesky by using LLT decomposition instead of LDLT that was not yielding a correctly rotated variance (see this http://stats.stackexchange.com/questions/48749/how-to-sample-from-a-multivariate-normal-given-the-pt-ldlt-p-decomposition-o ) Copyright (c) 2014 by Emmanuel Benazera beniz.nosp@m.@dro.nosp@m.idnik.nosp@m..fr, All rights reserved.

This library is free software; you can redistribute it and/or modify it under the terms of the GNU Lesser General Public License as published by the Free Software Foundation; either version 3.0 of the License, or (at your option) any later version.

This library is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.

You should have received a copy of the GNU Lesser General Public License along with this library.