Truncated multivariate normal

版本 1.5.0.0 (7.2 KB) 作者: Tim Benham
Generates pseudo-random vectors drawn from the truncated multivariate normal distribution.
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更新时间 2015/8/26

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X = rmvnrnd(MU,SIG,N,A,B) returns in N-by-P matrix X a
random sample drawn from the P-dimensional multivariate normal
distribution with mean MU and covariance SIG truncated to a
region bounded by the hyperplanes defined by the inequalities Ax<=B.
[X,RHO,NAR,NGIBBS] = rmvnrnd(MU,SIG,N,A,B) returns the
acceptance rate RHO of the accept-reject portion of the algorithm
(see below), the number NAR of returned samples generated by
the accept-reject algorithm, and the number NGIBBS returned by
the Gibbs sampler portion of the algorithm.
rmvnrnd(MU,SIG,N,A,B,RHOTHR) sets the minimum acceptable
acceptance rate for the accept-reject portion of the algorithm
to RHOTHR. The default is the empirically identified value
2.9e-4.

引用格式

Tim Benham (2024). Truncated multivariate normal (https://www.mathworks.com/matlabcentral/fileexchange/34402-truncated-multivariate-normal), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2009b
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致谢

参考作品: Truncated Gaussian, chebycenter(A,b,r0)

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版本 已发布 发行说明
1.5.0.0

Uses chebycenter to find a feasible point to seed the Gibbs sampler if the the random generation does not find one.
1.4.0.0

1. Correct problem with initialization of the Gibbs sampler.
2. Behave correctly when no constraints supplied.
1.3.0.0

Added example and improved interface.
1.2.0.0

Changed interface to support omission of A and b. Added example script rmvnrnd_eg.
1.0.0.0