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Code Listing by Chad Lieberman

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MVG is a multivariate Gaussian (normal) random number generator. A user can generate a vector from the multivariate normal distribution of any dimension by specifying a mean vector and symmetric positive-definite covariance matrix. A linear transformation based on the Cholesky decomposition of the covariance matrix is applied to a set of realizations from the distribution N(0,I). By applying the linear transformation to those samples, the...