riecovest.random_matrices.real_gaussian_from_complex

riecovest.random_matrices.real_gaussian_from_complex(mean, cov)

Converts mean and covariance of a complex Gaussian distribution to mean and covariance of a real Gaussian distribution.

Use this to sample from a complex Gaussian distribution by sampling from the corresponding real Gaussian distribution.

Parameters:

• mean (complex ndarray of shape (dim,)) – Mean of the complex Gaussian distribution.

• cov (complex ndarray of shape (dim, dim)) – Covariance matrix of the complex Gaussian distribution.

Returns:

• mean (ndarray of shape (2*dim,)) – Mean of the real Gaussian distribution.

• cov (ndarray of shape (2*dim, 2*dim)) – Covariance matrix of the real Gaussian distribution.