I want to generate random numbers from a multivariate normal distribution in Matlab. Normally, this is done like:
$w = \overline{w} + \text{chol}(\Sigma) \cdot \vec{l}$
But in my case I don't know $\Sigma$ itself, but only its inverse $B=\Sigma^{-1}$
Is there a way to calculate $chol(B^{-1})$, without calculating $B^{-1}$? If I can get an expression like
$w = \overline{w} + F(B)~\backslash~ \vec{l}$, where \ is a more optimal way to calculate an inverse in Matlab, that would be great.