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Results tagged with cholesky-decomposition
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user 26323
22
votes
3
answers
10k
views
Cholesky versus eigendecomposition for drawing samples from a multivariate normal distribution
I would like to draw a sample $\mathbf{x} \sim N\left(\mathbf{0}, \mathbf{\Sigma} \right)$. Wikipedia suggests either using a Cholesky or Eigendecomposition, i.e.
$
\mathbf{\Sigma} = \mathbf{D}_1\mat …
- 695
14
votes
Accepted
Cholesky versus eigendecomposition for drawing samples from a multivariate normal distribution
The problem was studied by by Straka et.al for the Unscented Kalman Filter which draws (deterministic) samples from a multivariate Normal distribution as part of the algorithm. With some luck, the re …
- 695