How to generate iid Gaussian noise vector

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Muhammad Yasir 2021-7-14

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https://ww2.mathworks.cn/matlabcentral/answers/878528-how-to-generate-iid-gaussian-noise-vector

编辑： Ben McMahon 2021-10-15

I am trying to simulate algorithams given in a research paper.

How can I generate a noise sequence w_t, which is i.i.d. Gaussian of mean zero with variance 2I3 (2xI3 ,where I3 is identity matrix of dimension 3x3) and the initial condition is x_init = [10 10 −10]'

Kindly look at this segment of the paper for which I need to create Gaussian noise samples. I think gaussian noise is a column vector...

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Answer 1

Ben McMahon 2021-7-14

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https://ww2.mathworks.cn/matlabcentral/answers/878528-how-to-generate-iid-gaussian-noise-vector#answer_746823

编辑：Ben McMahon 2021-10-15

在 MATLAB Online 中打开

For your particular example as your covariance is idenity and your mean 0, this is a mulitvariate standard normal distrbuiton:

~

The simple answer to this is to use the randn function to generate your samples. For example

% Set Number of Samples
NumSamples = 1000;
% Prealloacte
w = zeros(3,NumSamples);
% Loop for each sample
for t = 1:NumSamples
    w(3,t) = randn(3,1); % Generate a 3x1 Random vector
end