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Truncated multivariate normal

version 1.5.0.0 (7.2 KB) by Tim Benham
Generates pseudo-random vectors drawn from the truncated multivariate normal distribution.

1.9K Downloads

Updated 26 Aug 2015

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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.

Cite As

Tim Benham (2021). Truncated multivariate normal (https://www.mathworks.com/matlabcentral/fileexchange/34402-truncated-multivariate-normal), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Truncated Gaussian, chebycenter(A,b,r0)

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