numpy.random.multivariate_normal can still generate random numbers with non-positive definite cov matrix when specify check_valid parameter: https://docs.scipy.org/doc/numpy-1.15.1/reference/generated/numpy.random.multivariate_normal.html
I am wondering how it works. Does it change the non-psd matrix by itself? If that is the case, what method does it use?
Thanks!
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