www.pudn.com > kalmanmatalab.rar > gsamp.m, change:2000-04-24,size:657b

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) Christopher M Bishop, Ian T Nabney (1996, 1997) d = size(covar, 1); mu = reshape(mu, 1, d); % Ensure that mu is a row vector [evec, eval] = eig(covar); coeffs = randn(nsamp, d)*sqrt(eval); x = ones(nsamp, 1)*mu + coeffs*evec';