Use SVD for precision matrix to sample from multivariate normal distribution
Usage
mvn_sample_svd(P_svd, mu, entropy = NULL, threshold = 1e-12)
Arguments
- P_svd
SVD of precision matrix
- mu
Mean of MVN to draw from
- entropy
Draw from MVN of correct size (can be used to draw all mvns at once for efficiency)
- threshold
Singular values at or below this threshold are discarded.
Value
A draw from the multivariate normal distribution with precision
matrix represented by P_svd.