Multi-Variate Random Number Generator used to generate random numbers whose population is representative of an input Covariance Matrix and Mean Vector. Developed primarily for producing simulated noise in UT Robotics Simulations. Note that this Repo is HEADER ONLY and doesn't need to be built.
If you are unfamillar with the process of transforming a mutually independent standard normal distributed sample, from population x, to a sample y whose population will represent a desired covaiance relationship (or Matrix) and would like to see the theories that this Repo. works on, see ProofExplain.pdf
Again, this Repo's inner-workings are HEADER ONLY, primarily due to the templating method implemented for universal application. Utilizing the repo itself is simple and linking this Repository's CmakeLists with yours (although it's unnessesary) will add the class as a library interface. Most questions can be answered by looking in the examples folder which has a CMakeList and example implementation and operating proofs which show its accuracy. To build the examples, uncomment the section in the CMakeList.txt located in the Repo source dir which prompts you to 'uncomment for examples'. Personally, I use this repo as a submodule of my sensor simulation repositories. BEST OF LUCK!!!