Use the transpose of the cholseky decomposition (lower vs. upper tria…

…ngle)
coatless-rpkg · May 5, 2017 · 27338a3 · 27338a3
1 parent 1635a19
commit 27338a3
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/inst/include/dist/rmatrixnorm.h b/inst/include/dist/rmatrixnorm.h
@@ -12,7 +12,7 @@ inline arma::mat rmatnormal_chol(const arma::mat& mu,
     X.imbue(norm_rand); // Use R's PNG seed instead of Armadillo
 
     // N x P + N x N * N x P * P x P
-    return mu + arma::chol(Sigma_row) * X * arma::chol(Sigma_col);
+    return mu + arma::chol(Sigma_row, "lower") * X * arma::chol(Sigma_col);
 }
 
 // helper function