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_nis 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

VSL_RNG_METHOD_GAUSSIAN_ICDF. 

See http://software.intel.com/sites/products/documentation/doclib/mkl/vs/vs_performance_data.htm for test results summary and performance graphs.