Truncated multivariate normal
X = rmvnrnd(MU,SIG,N,A,B) returns in N-by-P matrix X a
random sample drawn from the P-dimensional multivariate normal
distribution with mean MU and covariance SIG truncated to a
region bounded by the hyperplanes defined by the inequalities Ax<=B.
[X,RHO,NAR,NGIBBS] = rmvnrnd(MU,SIG,N,A,B) returns the
acceptance rate RHO of the accept-reject portion of the algorithm
(see below), the number NAR of returned samples generated by
the accept-reject algorithm, and the number NGIBBS returned by
the Gibbs sampler portion of the algorithm.
rmvnrnd(MU,SIG,N,A,B,RHOTHR) sets the minimum acceptable
acceptance rate for the accept-reject portion of the algorithm
to RHOTHR. The default is the empirically identified value
2.9e-4.
Cita come
Tim Benham (2024). Truncated multivariate normal (https://www.mathworks.com/matlabcentral/fileexchange/34402-truncated-multivariate-normal), MATLAB Central File Exchange. Recuperato .
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Ispirato da: Truncated Gaussian, chebycenter(A,b,r0)
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Versione | Pubblicato | Note della release | |
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1.5.0.0 | Uses chebycenter to find a feasible point to seed the Gibbs sampler if the the random generation does not find one. |
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1.4.0.0 | 1. Correct problem with initialization of the Gibbs sampler.
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1.3.0.0 | Added example and improved interface. |
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1.2.0.0 | Changed interface to support omission of A and b. Added example script rmvnrnd_eg. |
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1.0.0.0 |