sample correlated bi-variate normal using c++
compile:
- g++ -I~/NRinC302/code quodratics2.cpp
NRinC302 is the "numerical recipes" library version 3.
NRinC302 is used for solving linear equations, therefore can be replaced with gauss elimination, as shown in the CUDA code.
- or use blas and lapack https://blog.csdn.net/mlnotes/article/details/9676269