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


  1. zn is a d-dimensional vector of random numbers from standard normal distribution

  2. T is a lower triangular dxd 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.

For more complete information about compiler optimizations, see our Optimization Notice.
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