Added multivariate normal example

[SVN r3062]

example/multivariate_normal_example.cpp

@@ -0,0 +1,44 @@
+/* boost random_test.cpp various tests
+ *
+ * Copyright Matthias Troyer 2006
+ * Distributed under the Boost Software License, Version 1.0. (See
+ * accompanying file LICENSE_1_0.txt or copy at
+ * http://www.boost.org/LICENSE_1_0.txt)
+ *
+ * $Id$
+ */
+
+#include <boost/random/multivariate_normal_distribution.hpp>
+#include <boost/random.hpp>
+#include <iostream>
+
+int main()
+{
+
+  // Create multivariate correlated Gaussians with mean (-1, 1) and covariance
+  // matrix ((2,2),(2,2))
+  
+  typedef boost::multivariate_normal_distribution<double> distribution_type;
+  
+  // the square root (Cholesky decomposition) of the covariance matrix
+  distribution_type::matrix_type cholesky(2,2);
+  cholesky(0,0)=1.;
+  cholesky(0,1)=1.;
+  cholesky(1,0)=1.;
+  cholesky(1,1)=1.;
+  
+  // the vector of mean values
+  distribution_type::vector_type mean(2);
+  mean(0)=-1.;
+  mean(1)=1.;
+  
+  // create the engine, distribution, and variate generator
+  boost::mt19937 engine;
+  distribution_type dist(cholesky,mean);
+  boost::variate_generator<boost::mt19937,distribution_type>
+    gen(engine,dist);
+    
+  // print 100 pairs of correlated Gaussians
+  for (int i=0; i<100; ++i)
+    std::cout << gen() << " " << gen() << "\n";
+}