/eigen-mvn

C++ multivariate normal variable sampler using Eigen Library

Primary LanguageC++

Multivariate Normal Sampler

C++ multivariate sampler using Eigen Vectors/Values to translated a N(0, sigma) sampler into an arbitrary M-dimensional sampler

Dependencies

gcc with C++11 standard
pkg-config
gtest (https://github.com/google/googletest)
cmake 3.1 >= 3.1
Eigen >=3.3.7 with Environment Variable EIGEN_ROOT_DIR

Compile

mkdir build
cd build
cmake ..
make