Sample from multivariate normal/Gaussian distribution in C?

Since this question has garnered a lot of views, I thought I'd post code for the final answer that I found, in part, by posting to the Eigen forums . The code uses Boost for the univariate normal and Eigen for matrix handling. It feels rather unorthodox, since it involves using the "internal" namespace, but it works.

I'm open to improving it if someone suggests a way.

Note that this does not require you to compute the Cholskey factorization. Although, I think SVD is slower than Cholskey, but they must both be cubic in number of flops.

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