Sample a truncated multivariate normal distribution

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

Ahora está siguiendo esta publicación

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.

Citar como

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

Categorías

Más información sobre Numerical Integration and Differential Equations en Help Center y MATLAB Answers.

Información general

Compatibilidad con la versión de MATLAB

  • Compatible con cualquier versión

Compatibilidad con las plataformas

  • Windows
  • macOS
  • Linux
Versión Publicado Notas de la versión Action
1.0.0