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arXiv · 1607.04751

Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions

Yulai Cong·Bo Chen·Mingyuan Zhou
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Abstract

We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a multivariate normal distribution whose covariance (precision) matrix can be decomposed as a positive-definite matrix minus (plus) a low-rank symmetric matrix. Example results illustrate the correctness and efficiency of the proposed simulation algorithms.

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Yulai Cong, Bo Chen, Mingyuan Zhou. 2016-07-16. Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions. https://arxiv.org/abs/1607.04751

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