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A collection of posts and notebooks regarding puzzles, algebra, and probability theory.
2017-01-27
Conditioning a Gaussian distribution on a system of linear equations
Given $ \boldsymbol x \sim \mathcal{N}\left(\boldsymbol\mu, \Sigma\right) $ and observing that $ C \boldsymbol x = \boldsymbol d $, how to sample from $ \operatorname{Pr}( \boldsymbol x \mid C\boldsymbol x = \boldsymbol d ) $?