Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions
Computation
2017-02-21 v2
Abstract
We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a multivariate normal distribution whose covariance (precision) matrix can be decomposed as a positive-definite matrix minus (plus) a low-rank symmetric matrix. Example results illustrate the correctness and efficiency of the proposed simulation algorithms.
Cite
@article{arxiv.1607.04751,
title = {Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions},
author = {Yulai Cong and Bo Chen and Mingyuan Zhou},
journal= {arXiv preprint arXiv:1607.04751},
year = {2017}
}
Comments
To appear in Bayesian Analysis