Random multidimensional normal distribution

Question

I had a problem when I should be able to generate a set of randomly selected numbers of a multidimensional normal distribution with an average of 0 and a given 3 * 3 variance-covariance matrix in Java.

Is there an easy way to do this?

Answer 1

1) Use the library implementation as suggested by Dima.

Or, if you really feel the burning need to do it yourself:

2) , M V / V, Cholesky Decomposition V, L , V = LL ^t ( t ). Z ( Random.nextGaussian() ). LZ + M .

Answer 2

Apache Commons , :

MultivariateNormalDistribution mnd = new MultivariateNormalDistribution(means, covariances);
double vals[] = mnd.sample();