25 lines
887 B
Matlab
25 lines
887 B
Matlab
function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
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% rand_matrix_normal Pseudo random matrices drawn from a
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% matrix-normal distribution
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%
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% B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
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%
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% Returns an n-by-p matrix drawn from a Matrix-normal distribution
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%
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% B ~ MN_n*p(M, Omega, Sigma)
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%
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% Equivalent to vec(B) ~ N(vec(Mu), kron(Omega, Sigma))
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%
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% Same notations than: http://en.wikipedia.org/wiki/Matrix_normal_distribution
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%
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% M is the mean, n-by-p matrix
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% Omega_lower_chol is p-by-p, lower Cholesky decomposition of Omega
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% (Omega_lower_chol = chol(Omega, 'lower'))
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% Sigma_lower_chol is n-by-n, lower Cholesky decomposition of Sigma
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% (Sigma_lower_chol = chol(Sigma, 'lower'))
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B1 = randn(n * p, 1);
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B2 = kron(Omega_lower_chol, Sigma_lower_chol) * B1;
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B3 = reshape(B2, n, p);
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B = B3 + M;
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