1 files changed, 19 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/KPMstats/sample_gaussian.m b/sourcecodes/bnt-master/KPMstats/sample_gaussian.m
new file mode 100644
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+++ b/sourcecodes/bnt-master/KPMstats/sample_gaussian.m
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+function M = sample_gaussian(mu, Sigma, N)
+% SAMPLE_GAUSSIAN Draw N random row vectors from a Gaussian distribution
+% samples = sample_gaussian(mean, cov, N)
+
+if nargin==2
+  N = 1;
+end
+
+% If Y = CX, Var(Y) = C Var(X) C'.
+% So if Var(X)=I, and we want Var(Y)=Sigma, we need to find C. s.t. Sigma = C C'.
+% Since Sigma is psd, we have Sigma = U D U' = (U D^0.5) (D'^0.5 U').
+
+mu = mu(:);
+n=length(mu);
+[U,D,V] = svd(Sigma);
+M = randn(n,N);
+M = (U*sqrt(D))*M + mu*ones(1,N); % transform each column
+M = M';
+