sgvm_mult_randn

SGVM_MULT_RANDN sample N times from a multivariate normal distribution
   Z = SGVM_MULT_RANDN(N, SIGMA, MU)

   Sample N times from a multivariate normal distribution
   with covariance matrix SIGMA and mean vector MU
   basically copied from the RAND help documentation example

0001 function z = sgvm_mult_randn(n, sigma, mu)
0002 %SGVM_MULT_RANDN sample N times from a multivariate normal distribution
0003 %   Z = SGVM_MULT_RANDN(N, SIGMA, MU)
0004 %
0005 %   Sample N times from a multivariate normal distribution
0006 %   with covariance matrix SIGMA and mean vector MU
0007 %   basically copied from the RAND help documentation example
0008 
0009 %   SynGrid
0010 %   Copyright (c) 2018, Power Systems Engineering Research Center (PSERC)
0011 %   by Eran Schweitzer, Arizona State University
0012 %
0013 %   This file is part of SynGrid.
0014 %   Covered by the 3-clause BSD License (see LICENSE file for details).
0015 
0016 d = size(sigma,1);
0017 if nargin == 2
0018     mu = zeros(1,d);
0019 end
0020 mu = sgvm_ensure_col_vect(mu).';
0021 
0022 R = chol(sigma);
0023 
0024 z = repmat(mu,n,1) + randn(n, d)*R;