Random numbers with vdRngGaussianMV.

Hi!

I want to generate random numbers from a multivariate normal distribution with parameters mu = [3.0 5.0 2.0] and sigma = [ 16.0 8.0  4.0;  8.0 13.0 17.0; 4.0 17.0 62.0].

I wrote a mex-code using the the function vdRngGaussianMV and the results of the simulation are

>> mean(out)
ans =
    3.4558    2.9934    3.3013
>> cov(out)
ans =
  146.5081   -1.9068   -2.1787
   -1.9068  144.7461   -0.7771
   -2.1787   -0.7771  142.3955

Could you please tell me what I am doing wrong.

Thank you very much.

The code is the following:

#include <math.h>
#include <stdio.h>
#include <stdlib.h>
#include <mkl.h>
#include "mkl_vml.h"
#include "mex.h"
#include "matrix.h"
#include "mkl_vsl.h"
#include <time.h>

#define SEED time(NULL)
#define BRNG    VSL_BRNG_MCG31 // VSL basic generator to be used

double normalMVN(int npars, int N, double *cov, double *mean, double *out);


/* main fucntion */
void mexFunction(int nlhs,  mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
   
    int npars,  N;
    double *cov, *mean, *out;
   
    /* make pointers to input data */
    npars = (int)mxGetScalar(prhs[0]);
    N = (int)mxGetScalar(prhs[1]);
    cov = mxGetPr(prhs[2]);
    mean = mxGetPr(prhs[3]);
   
    /* make pointers to output data */
    plhs[0] = mxCreateDoubleMatrix( N, npars, mxREAL);
    out = mxGetPr(plhs[0]);
   
   
    /* call */
    normalMVN(npars, N, cov, mean, out);
   
    return 0;
   
}


double normalMVN(int npars, int N, double *cov, double *mean, double *out)
{
   
    /* This we need it for distributions */
    VSLSSTaskPtr task;
    VSLStreamStatePtr stream;
   
    char   uplo;
    int i, j, n, lda,  info;
    double *T, fiori[3];
   
    T = (double *)mxMalloc( npars*npars*sizeof( double* ) );
   
    uplo = 'L';
    n = npars;
    lda = npars;
   
    cblas_dcopy(npars*npars, cov, 1, T, 1);
   
    dpotrf( &uplo, &n, T, &lda, &info );
    if(info != 0){mexPrintf("c++ error: Cholesky failed\n\n");}
   
    vslNewStream( &stream, BRNG, SEED );
   
    vdRngGaussianMV( VSL_METHOD_DGAUSSIANMV_BOXMULLER2, stream, N, out, npars, VSL_MATRIX_STORAGE_FULL, mean, T );
  
    vslDeleteStream( &stream );
   
    /* Free memory */
    mxFree(T);
   
    return 0;
}