riecovest.random_matrices.sample_real_gaussian

riecovest.random_matrices.sample_real_gaussian(mean, cov, rng, num_samples)

Sample from a real Gaussian distribution with given mean and covariance matrix.

Parameters:

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

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

Returns:

sample – Real Gaussian samples.

Return type:

ndarray of shape (dim, num_samples)