vendredi 3 avril 2020

How "numpy.random.multivariate_normal" generates random number with non-positive definite matrix

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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