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:
- zis a d-dimensional vector of random numbers from standard normal distributionn
- Tis a lower triangular dxd matrix - Cholesky factor of variance-covariance matrix
Random numbers from standard normal distribution are generated by method
See
Intel® oneAPI Math Kernel Library Vector Statistics Random Number Generator Performance Data for test results summary and performance graphs.