normal_dataset, a Fortran90 code which creates a multivariate normal random dataset and writes it to a file.
The multivariate normal distribution for the M dimensional vector X has the form:
pdf(X) = (2*pi*det(A))^(-M/2) * exp(-0.5*(X-MU)'*inverse(A)*(X-MU))where MU is the mean vector, and A is a symmetric positive definite (SPD) matrix called the variance-covariance matrix.
To create X, an MxN matrix containing N samples from this distribution, it is only necessary to
normal_dataset m n seed mu awhere
Although m, n, and seed may be entered on the command line, it probably makes more sense to enter the vector mu and the matrix a interactively.
The information on this web page is distributed under the MIT license.
normal_dataset is available in a C++ version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.
normal, a Fortran90 code which computes normally distributed pseudorandom values.