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I've read a paper "structured uncertainty prediction networks", and I don't understand how to sample from a multivariate Gaussain in the paper.

Here is a sampling method used in the paper.

Suppose that $x \sim \mathcal{N}(\mu, \Lambda^{-1}) \quad where \quad L L^T = \Lambda \quad and \quad \Lambda^{-1} = \Sigma$.

Let $\mu,L$ be given and $y = L^T(x - \mu)$.

Then sampling proceeds as follows

1. Sampling $\epsilon$ from $\Sigma$

2. add $\epsilon$ to $\mu$, then we get x.

In the first sampling phase, the paper said that

"Sampling from $\Sigma$ involves solving the triangular system of equations $L^Ty=u$ with backwards substitution,"

I don't understand why solving $L^Ty=u$ is related with sampling from $\Sigma$. Would you please elaborate this?

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To sample $\epsilon \sim \mathcal{N}(0, \Sigma)$ where $\Sigma = MM^\top$ you can generate $u \sim \mathcal{N}(0, I)$ and let $\epsilon = Mu$. (This is how the paper defines $u$, but you forgot to mention this in your post.)

However, if you instead have a decomposition of the precision matrix $\Sigma^{-1} = LL^\top$ and you have $L$ but not $M$, then you can generate $\epsilon$ by $\epsilon = (L^\top)^{-1} u$, which can be found by solving the system $L^\top \epsilon = u$ for $\epsilon$. (I'm not sure why they wrote $y$ there; I think here it is a dummy variable, and not the same $y=L^\top (x-\mu)$ that was defined earlier.)

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  • $\begingroup$ @alryosha You are right, that was a mistake on my part. I have fixed my answer. $\endgroup$
    – angryavian
    Mar 25 '20 at 7:21

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