New Post: Multivariable Random Number Generator

Hello,

I've been developing a massive multivariable parallel random number generator. The idea is to feed it with a correlation matrix and use it as a seed to create random correlated numbers. The math behind is quite simple: I take the correlation matrix [n x n], decompose it through cholesky and finally multiply by a random matrix [1 x n].

I was giving a look at the MathNet.Numerics.Distributions and realized that there is a huge amount of distribution generators, but I couldn't find one that suits my needs.

So my question is: does anyone knows if there is a helper for that in MathNet?

Best Regards,
Rafael