Visible to Intel only — GUID: GUID-CEAF85ED-0783-4E70-9163-164A91916FA8
Visible to Intel only — GUID: GUID-CEAF85ED-0783-4E70-9163-164A91916FA8
GaussianMV (VSL_RNG_METHOD_GAUSSIANMV_ICDF)
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:
znis a d-dimensional vector of random numbers from standard normal distribution
T is 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.
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