Sample a truncated multivariate normal distribution

Generates samples from a MVN within a lower and upper bound.

Sie verfolgen jetzt diese Einreichung

There exist many implementations on FEX solving the same problem, I wasn't very confident in using them as they sometimes failed to converge (using fsolve etc) or would generate warnings complaining about the covariance matrix being close to singular.
This is a simple brute-force method that records the accepted samples, adjusts the trial size and repeats until it has reached the target sample number.

Zitieren als

Yavor Kamer (2026). Sample a truncated multivariate normal distribution (https://de.mathworks.com/matlabcentral/fileexchange/69201-sample-a-truncated-multivariate-normal-distribution), MATLAB Central File Exchange. Abgerufen .

Kategorien

Mehr zu Numerical Integration and Differential Equations finden Sie in Help Center und MATLAB Answers

Allgemeine Informationen

Kompatibilität der MATLAB-Version

  • Kompatibel mit allen Versionen

Plattform-Kompatibilität

  • Windows
  • macOS
  • Linux
Version Veröffentlicht Versionshinweise Action
1.0.0