Source code for src.MvNormal.MvNormal

# Zhihao Zhang
# MvNormal class in python

import math
import numpy as np

'''
MvNormal class is used to do Multi variant Gaussian sampling
'''


[docs]class MvNormal:
    def __init__(self, mu: np.array, cov: np.array):
        '''

        :param mu: mean of the multi-variant Gaussian
        :param cov: covariance matrix of the multi-variant Gaussian
        '''
        self.mu = mu
        self.cov = cov

[docs]    def rand_sample(self):
        '''

        :return: a random sampled vector from this multi-variant Gaussian
        '''
        return np.random.multivariate_normal(self.mu, self.cov)