/usr/share/psychtoolbox-3/PsychProbability/MultiNormalDraw.m is in psychtoolbox-3-common 3.0.11.20131230.dfsg1-1build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | function y = MultiNormalDraw(n,u,K)
% x = MultiNormalDraw(n,u,K)
%
% Make n multivariate normal draws with mean u and covariance matrix K.
% Each draw is in a single column of y, which has n columns.
%
% The routine operates by computing the appropriate linear transformation
% of a N(0,I) multivariate normal draw. This transformation is given by
% y= C'x + u where K = C'C. This works because the covariance of a
% distribution y = Cx is in general given by Ky = C Kx C'. In our case
% Kx= I so Ky = C'C = K.
%
% K = 0 is handled as a special case
% 12/31/93 dhb Added this line.
% 7/24/04 awi Cosmetic.
[m,null] = size(u);
x = zeros(m,n);
if (MatMax(K) == 0)
C = zeros(m,m);
else
C = chol(K);
end
for i = 1:n
x(:,i) = NormalDraw(m,0,1);
y(:,i) = C'*x(:,i) + u;
end
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