Fastest way to sample from MVN, changing parameters

Daniel_Johansson
Thu, 17 Apr 2025 02:15:12 +0000
Julia at Scale

Hey guys!
Does anybody know what is the most efficient way of sampling from a multivariate normal distribution whose parameters are constantly updated. I’m constructing a Gibbs sampler for a MVN whose parameters depend on matrix multiplication and inversion, thus I want to make things as efficient as possible.

8 posts - 2 participants