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# 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. 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, X = [x_1, x_2, ... x_N]. The covariance matrix element C_{ij} is the covariance of x_i and x_j. The element C_{ii} is the variance of x_i (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]
```