超平面截断多元正态分布的快速模拟
Fast Simulation of Hyperplane-Truncated Multivariate Normal Distributions
摘要：
我们介绍了一个快速和易于实现的模拟算法的多元正态分布截断的一组超平面的交集，并进一步推广到有效地模拟随机变量的多元正态分布的协方差（精度）矩阵可以分解为一个正定矩阵减去（加上）一个低秩对称矩阵。算例结果验证了所提仿真算法的正确性和有效性。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
