Multivariate normally distributed data synthetic generator.
Data sets with 3 clusters are randomly generated.
n examples for each class are generated.
n 1000-dimensional examples for each class are generated.
All classes (each one of n examples) has 300 no-noisy features and 700 noisy features. There is a certain overlap
between classes and a full covariance matrix (equal for all classes is used).
The first class (first n examples) has its no-noisy features centered in 0.
The second class (second n examples) has its no-noisy features centered in m
The third class (last n examples) has its no-noisy features centered in -m
Covariance matrix Sigma = (B, Zero; Zero', I) where B is a 300X300 matrix s.t. B[i,i]=1, B[i,i+1]=B[i,i-1]=0.5 and
B[i,j]=0.1 j!=i-1,i,i+1; Zero is a 300X700 zero matrix and Zero' its transpose; I is a 700X700 identity matrix.