Make MatrixNormal sampling non-allocating #2012
Open
+5
−3
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Currently, sampling from
MatrixNormalalways allocates multiple temporaries: one of the matrixXthat contains the normally-sampled values, one for the matrix productA * X, and one for the matrix product(A * X) * B. However, given thatAandBare triangular (and square) matrices, all products can be done in-place and the sample can directly be stored to the output. So the method doesn't need to allocate at all, provided the Cholesky factors are available without allocation.