python 随机产生多维高斯分布点

http://docs.scipy.org/doc/numpy/reference/generated/numpy.random.multivariate_normal.html（请参考这个网址）

numpy.random.multivariate_normal

numpy.random.multivariate_normal(mean, cov[, size])

Draw random samples from a multivariate normal distribution.

The multivariate normal, multinormal or Gaussian distribution is a generalization of the one-dimensional normal distribution to higher dimensions. Such a distribution is specified by its mean and covariance matrix. These parameters are analogous to the mean (average or “center”) and variance (standard deviation, or “width,” squared) of the one-dimensional normal distribution.

Parameters:

mean : 1-D array_like, of length N

Mean of the N-dimensional distribution.

cov : 2-D array_like, of shape (N, N)

Covariance matrix of the distribution. It must be symmetric and positive-semidefinite for proper sampling.

size : int or tuple of ints, optional

Given a shape of, for example, (m,n,k), m*n*k samples are generated, and packed in an m-by-n-by-k arrangement. Because each sample is N-dimensional, the output shape is (m,n,k,N). If no shape is specified, a single (N-D) sample is returned.

Returns:

out : ndarray

The drawn samples, of shape size, if that was provided. If not, the shape is (N,).

In other words, each entry out[i,j,...,:] is an N-dimensional value drawn from the distribution.

Notes

The mean is a coordinate in N-dimensional space, which represents the location where samples are most likely to be generated. This is analogous to the peak of the bell curve for the one-dimensional or univariate normal distribution.

Covariance indicates the level to which two variables vary together. From the multivariate normal distribution, we draw N-dimensional samples, . The covariance matrix element  is the covariance of  and . The element  is the variance of  (i.e. its “spread”).

Instead of specifying the full covariance matrix, popular approximations include:

• Spherical covariance (cov is a multiple of the identity matrix)
• Diagonal covariance (cov has non-negative elements, and only on the diagonal)

This geometrical property can be seen in two dimensions by plotting generated data-points:

>>>

>>> mean = [0, 0]>>> cov = [[1, 0], [0, 100]]  # diagonal covariance

Diagonal covariance means that points are oriented along x or y-axis:

>>>

>>> import matplotlib.pyplot as plt>>> x, y = np.random.multivariate_normal(mean, cov, 5000).T>>> plt.plot(x, y, 'x')>>> plt.axis('equal')>>> plt.show()

Note that the covariance matrix must be positive semidefinite (a.k.a. nonnegative-definite). Otherwise, the behavior of this method is undefined and backwards compatibility is not guaranteed.

References

[R241]Papoulis, A., “Probability, Random Variables, and Stochastic Processes,” 3rd ed., New York: McGraw-Hill, 1991.[R242]Duda, R. O., Hart, P. E., and Stork, D. G., “Pattern Classification,” 2nd ed., New York: Wiley, 2001.

Examples

>>>

>>> mean = (1, 2)>>> cov = [[1, 0], [0, 1]]>>> x = np.random.multivariate_normal(mean, cov, (3, 3))>>> x.shape(3, 3, 2)

The following is probably true, given that 0.6 is roughly twice the standard deviation:

>>>

>>> list((x[0,0,:] - mean) < 0.6)[True, True]