Fast Simulation of Hyperplane Truncated Multivariate Normal Distributions
We introduce a fast and easy to implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a multivariate normal distribution whose covariance (precision) matrix can be decomposed as a positive definite matrix minus (plus) a low rank symmetric matrix. Example results illustrate the correctness and efficiency of the proposed simulation algorithms.