Notes for Intel® oneAPI Math Kernel Library Vector Statistics

Developer Reference

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GaussianMV (VSL_RNG_METHOD_GAUSSIANMV_BOXMULLER2)

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
    n
     is a d-dimensional vector of random numbers from standard normal distribution
  2. T
     is a lower triangular d
    x
    d matrix - Cholesky factor of variance-covariance matrix
Random numbers from standard normal distribution are generated by method

Product and Performance Information

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