R Under development (unstable) (2024-05-20 r86569 ucrt) -- "Unsuffered Consequences"
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> 
> library("mvtnorm")
> 
> chk <- function(...) isTRUE(all.equal(...))
> 
> m <- 1:3
> 
> s <- diag(1:3)
> s[2,1] <- 1
> s[3,1] <- 2
> s[3,2] <- 3
> s <- s+t(s)
> 
> set.seed(1)
> 
> x <- rmvnorm(10000, m, s)
> stopifnot(chk(m, colMeans(x), tolerance=0.01))
> stopifnot(chk(s, var(x), tolerance=0.1))
> 
> x <- rmvnorm(10000, m, s, method="svd")
> stopifnot(chk(m, colMeans(x), tolerance=0.01))
> stopifnot(chk(s, var(x), tolerance=0.1))
> 
> x <- rmvnorm(10000, m, s, method="chol")
> stopifnot(chk(m, colMeans(x), tolerance=0.01))
> stopifnot(chk(s, var(x), tolerance=0.1))
> 
> ### suggested by Paul Johnson <pauljohn@ku.edu>
> set.seed(29)
> x <- rmvnorm(2, sigma = diag(2))
> set.seed(29)
> y <- rmvnorm(3, sigma = diag(2))[1:2,]
> stopifnot(chk(x, y))
> 
> ### Speed
> p <- 200
> set.seed(17)
> rcond(Sig <- cov(matrix(rnorm((p+p)*p), ncol = p))) # 0.00286, ok
[1] 0.002862034
> mu <- 1:p
> 
> set.seed(101)
> system.time(x <- rmvnorm(10000, mu, Sig))
   user  system elapsed 
   0.34    0.03    0.38 
> stopifnot(chk(mu, colMeans(x), tolerance= 0.001),
+           chk(Sig, cov(x), tolerance= 0.2))
> 
> set.seed(101)
> system.time(x <- rmvnorm(10000, mu, Sig, method="svd"))
   user  system elapsed 
   0.34    0.06    0.40 
> stopifnot(chk(mu, colMeans(x), tolerance= 0.001),
+           chk(Sig, cov(x), tolerance= 0.2))
> 
> set.seed(101)
> system.time(x <- rmvnorm(10000, mu, Sig, method="chol"))
   user  system elapsed 
   0.29    0.03    0.33 
> ## 'chol' is  5-10 % faster than the other two
> stopifnot(chk(mu, colMeans(x), tolerance= 0.001),
+           chk(Sig, cov(x), tolerance= 0.2))
> 
> proc.time()
   user  system elapsed 
   2.68    0.20    2.87