function Y = randvec(N,mu,Sigma)

% function Y = randvec(N,mu,Sigma)
% generate N random points distributed with gaussian 
% density function with:
% mu = mean 
% Sigma = covariance
% the dimension is given by size(mu) 

 D = length(mu); [U,S,V] = svd(Sigma); A = U*sqrt(S);
 Y = A*randn(D,N) + mu*ones(1,N);