Sample a truncated multivariate normal distribution

Generates samples from a MVN within a lower and upper bound.

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There exist many implementations on FEX solving the same problem, I wasn't very confident in using them as they sometimes failed to converge (using fsolve etc) or would generate warnings complaining about the covariance matrix being close to singular.
This is a simple brute-force method that records the accepted samples, adjusts the trial size and repeats until it has reached the target sample number.

Citation pour cette source

Yavor Kamer (2026). Sample a truncated multivariate normal distribution (https://fr.mathworks.com/matlabcentral/fileexchange/69201-sample-a-truncated-multivariate-normal-distribution), MATLAB Central File Exchange. Extrait(e) le .

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Informations générales

Compatibilité avec les versions de MATLAB

  • Compatible avec toutes les versions

Plateformes compatibles

  • Windows
  • macOS
  • Linux
Version Publié le Notes de version Action
1.0.0