How to create random Gaussian vector in c++? - c++

Question

I'm trying to figure out how to generate a random Gaussian vector in c++. Would it be sufficient to generate random gaussian numbers and putting them in a vector?

Answer 1

EDIT: I just realized you were, probably, talking about multivariate Gaussian distribution. In this case, I think, you'd need N normal distributions, each corresponding to an univariate distribution along one of the coordinates. Then, you generate random vector's coordinates by sampling each of the distributions. Effectively, the edited code below represents coordinates of 10 two-dimensional random vectors, using C++11 pseudo-random number generation (code on ideone.com). Note, in the example given there will be correlation between the two coordinates, since there is correlation between consecutive pseudo-random numbers. One can try using two seeds with two generators with more sophisticated algorithms provided by the Standard library. However, I feel, there still might be a correlation, even using two different generators - one would have to investigate this issue to give a definite answer.
#include <iostream>
#include <vector>
#include <random>
#include <iomanip>
int main()
{
std::random_device device_random_;
std::default_random_engine generator_(device_random_());
std::normal_distribution<> distribution_x_(1.0, 0.5);
std::normal_distribution<> distribution_y_(10.0, 1.0);
std::vector<double> vector_x_, vector_y_;
for (int counter_(0); counter_ < 10; ++counter_)
{
vector_x_.push_back(distribution_x_(generator_));
vector_y_.push_back(distribution_y_(generator_));
std::cout << std::fixed << std::setprecision(4) << "(" << vector_x_[counter_]
<< ", " << vector_y_[counter_] << ")\n";
}
return (0);
}
Program output:
(0.2390, 10.3887)
(1.1087, 9.5847)
(1.0920, 9.3468)
(1.1982, 11.6633)
(0.8840, 11.0903)
(0.5573, 8.5121)
(0.6709, 11.4706)
(1.1477, 9.4374)
(0.8778, 11.0323)
(0.8255, 9.7704)

Answer 2

Boost.Random includes a normal distribution generator. You should be able to use this to populate a vector. Complete tested example code:
#include <boost/random/random_device.hpp>
#include <boost/random/normal_distribution.hpp>
#include <vector>
int main()
{
boost::random::random_device rng;
boost::random::normal_distribution<> generator(0, 100);
std::vector<int> vec;
vec.reserve(100);
std::generate_n(
std::back_inserter(vec),
100,
[&] () { return generator(rng); });
for (auto i : vec)
std::cout << i << ',';
return 0;
}