root/adcp/trunk/adcp/diwasp_1_1GD/private/gsamp.m

function x = gsamp(mu, covar, nsamp)
%GSAMP  Sample from a Gaussian distribution.
%
%       Description
%
%       X = GSAMP(MU, COVAR, NSAMP) generates a sample of size NSAMP from a
%       D-dimensional Gaussian distribution. The Gaussian density has mean
%       vector MU and covariance matrix COVAR, and the matrix X has NSAMP
%       rows in which each row represents a D-dimensional sample vector.
%
%       See also
%       GAUSS, DEMGAUSS
%

%       Copyright (c) Christopher M Bishop, Ian T Nabney (1996, 1997)

d = size(covar, 1);

mu = reshape(mu, 1, d);   % Ensure that mu is a row vector

[evec, eval] = eig(covar);

coeffs = randn(nsamp, d)*sqrt(eval);

x = ones(nsamp, 1)*mu + coeffs*evec';