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GaussianMV  (VSL_RNG_METHOD_GAUSSIANMV_ICDF)

Random number generator of d-variate (correlated) normal distribution with parameters
a
and
T
. You can obtain any successive random vector
x
according to the formula
where:
  1. z
    n
    is a d-dimensional vector of random numbers from standard normal distribution
  2. T
    is a lower triangular dd matrix - Cholesky factor of variance-covariance matrix
Random numbers from standard normal distribution are generated by method
See Intel® MKL Vector Statistics Random Number Generator Performance Data for test results summary and performance graphs.

Product and Performance Information

1

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Notice revision #20110804