# Thread:

1. ## Question about multidimentional gaussian integration

Dear all,
I know how to derive a multidimentional gaussian integration like this:

$\int_{-\infty}^{\infty} \mathrm{d} \mathbf{x} ~ \mathrm{exp} \left\{\mathbf{x}^T \mathbf{G} \mathbf{x} + \mathbf{H}^T \mathbf{x} \right\}$

where $\mathbf{x}=\left\{x_1, x_2, \cdots, x_n\right\}$ and $\mathrm{G}$ is a full rank matrix, and $\mathbf{H}=\left\{H_1, H_2, \cdots, H_n\right\}$

Just diagnolize $\mathrm{G}$ and make a linear transformation:

$\mathbf{x} = \mathbf{V} \mathbf{y}$

where $\mathbf{V}$ is the eigenvector matrix of $\mathrm{G}$.

My question is how to calculate
$\int_{-\infty}^{\infty} \mathrm{d} \mathbf{x} ~ \left( \mathbf{x}^T \mathbf{K} \mathbf{x} \right) \mathrm{exp} \left\{\mathbf{x}^T \mathbf{G} \mathbf{x} + \mathbf{H}^T \mathbf{x}\right\}$

where $\mathrm{K}$ is a full rank matrix?

Does anyone has suggestion?

Thanks for your help!
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