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
znis a d-dimensional vector of random numbers from standard normal distribution
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.