function x = gaussRnd(mu, Sigma, n) % Generate samples from a Gaussian distribution. % Input: % mu: d x 1 mean vector % Sigma: d x d covariance matrix % n: number of samples % Outpet: % x: d x n generated sample x~Gauss(mu,Sigma) % Written by Mo Chen (sth4nth@gmail.com). if nargin == 2 n = 1; end [V,err] = chol(Sigma); if err ~= 0 error('ERROR: sigma must be a symmetric positive definite matrix.'); end x = V'*randn(size(V,1),n)+repmat(mu,1,n);