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Results tagged with cholesky-decomposition
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user 56525
8
votes
Cholesky versus eigendecomposition for drawing samples from a multivariate normal distribution
Here is a simple illustration using R to compare the computation time of the two method.
library(mvtnorm)
library(clusterGeneration)
set.seed(1234)
mean <- rnorm(1000, 0, 1)
sigma <- genPositiveDefMa …
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