📄 gsamp.m
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function x = gsamp(mu, covar, nsamp)
%GSAMP Sample from a Gaussian distribution.
%
% Description
%
% X = GSAMP(MU, COVAR, NSAMP) generates a sample of size NSAMP from a
% D-dimensional Gaussian distribution. The Gaussian density has mean
% vector MU and covariance matrix COVAR, and the matrix X has NSAMP
% rows in which each row represents a D-dimensional sample vector.
%
% See also
% GAUSS, DEMGAUSS
%
% Copyright (c) Ian T Nabney (1996-2001)
d = size(covar, 1);
mu = reshape(mu, 1, d); % Ensure that mu is a row vector
[evec, eval] = eig(covar);
deig=diag(eval);
if (~isreal(deig)) | any(deig<0),
warning('Covariance Matrix is not OK, redefined to be positive definite');
eval=abs(eval);
end
coeffs = randn(nsamp, d)*sqrt(eval);
x = ones(nsamp, 1)*mu + coeffs*evec';
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