Computational Information Geometry Wonderland

To get a random Gaussian N(mu,Sigma), sample the mu uniformly from [0,1] (or N(0,1)) and sample the symmetric positive definite matrix from a Wishart distribution: Sample each entry of a matrix A from a Normal distribution N(0,1), and set SIGMA=lambda AA^T where lambda is a uniform random number that controls the size of the covariance matrice.