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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 …
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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 …
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