How to evaluate the value for a multivariate Gaussian. For instance, to evaluate the 20 dimensional Gaussian function value with respect to a 20 dimensional input vector x, I need calculate a 20 by 20 covariance matrix, its inverse and determinant. Is there any available code for this purpose? The computational cost for the determinant and matrix inverse seems very high (I need evaluate thousands of these multivarate Gaussians, so the computational efficiency is quite important). Is there any efficient way to evaluate the value for a multivariate Gaussian? Thanks.