How to generate random samples according to a known covariance matrix and expectations?

ROOT
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I have the mean value of the N-dimensional distribution and the symmetric covariance matrix(N,N), how to generate samples that meet the above two requirements?

2

Hi,

You can use the function from the GSLRandomEngine class, see ROOT: ROOT::Math::GSLRandomEngine Class Reference

An example of using the class is this tutorial : ROOT: tutorials/math/multivarGaus.C File Reference

Note there is a memory leak in using this function in the current master and it should be fixed when this PR , [math][mathmore] Fix memory leak in GaussianND random function by lmoneta · Pull Request #12615 · root-project/root · GitHub, will be merged.

Lorenzo

3

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