Hamiltonian Markov Chain (HMC) code for generating multivariate truncated Gaussian random variables with general covariance matrix and linear inequality constraints. Current version is a Cython-based version. Pure Python version available in directory python/. Based on Matlab code by Ari Pakman.
References:
- Ari Pakman and Liam Paninski, "Exact Hamiltonian Monte Carlo for Truncated Multivariate Gaussians", link.