chenmh_gaussian.m

Frequently used algorithms for numerical analysis and signal processing

function [X,A] = Chenmh_Gaussian(n,U,Sigma);
% Sigma is the Covariance Matrix.
d = length(U);
A = chol(Sigma);
uu = inv(A')*U;
X = randn(d,n) + uu*ones(1,n);
X = A'*X;