{"title":"Message","authors":"Dr. Sanjib Sinha","doi":"10.1055/s-0040-1716600","DOIUrl":null,"url":null,"abstract":"Let X = {X1, X2, ..., XN} be a random vector that follows multivariate Gaussian distribution, i.e., X ∼ N (μ,Σ). Directly sampling from the multivariate Gaussian distribution may be challenging. This challenge can be mitigated with the re-parameterization trick. Let Z be a random vector that follows the standard multivariate Gaussian distribution, i.e., Z ∼ N (0, I), where I is the identity covariance matrix. We can easily prove that x = Lz +μ, where L is the lower triangle matrix resulted from Cholesky decomposition of Σ, i.e., Σ = LL . As Z follows standard multivariate Gaussian distribution, we can sample each element of Z independently, yielding a sample zs, based on which we obtain the corresponding sample for X as xs = Lzs + μ.","PeriodicalId":38086,"journal":{"name":"International Journal of Epilepsy","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1055/s-0040-1716600","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Epilepsy","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1055/s-0040-1716600","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Medicine","Score":null,"Total":0}
引用次数: 0
Abstract
Let X = {X1, X2, ..., XN} be a random vector that follows multivariate Gaussian distribution, i.e., X ∼ N (μ,Σ). Directly sampling from the multivariate Gaussian distribution may be challenging. This challenge can be mitigated with the re-parameterization trick. Let Z be a random vector that follows the standard multivariate Gaussian distribution, i.e., Z ∼ N (0, I), where I is the identity covariance matrix. We can easily prove that x = Lz +μ, where L is the lower triangle matrix resulted from Cholesky decomposition of Σ, i.e., Σ = LL . As Z follows standard multivariate Gaussian distribution, we can sample each element of Z independently, yielding a sample zs, based on which we obtain the corresponding sample for X as xs = Lzs + μ.