mvn_sample()

liesel.goose.iwls_utils.mvn_sample(prng_key, mean, chol_inv_cov)

Samples from the normal distribution based on the Cholesky decomposition of the inverse covariance matrix.

Parameters:

• prng_key (Any) – The key for JAX’ pseudo-random number generator.

• mean (Any) – The mean vector.

• chol_inv_cov (Any) – The lower triangular matrix of the Cholesky decomposition of the inverse variance.

Return type:

Any