title: numpy multivariate_normal bug when dimension too high
body: <p>I am working on a homework assignment and I noticed that when the dimension of mean and covariance is very high, <code>multivariate_normal</code> will occupy all CPU forever, without generating any results. </p>
  
  <p>An example code snippet, </p>
  
  <pre><code>cov_true  = np.eye(p)
  mean_true = np.zeros(p)
  beta_true = multivariate_normal(mean_true, cov_true, size=1).T
  </code></pre>
  
  <p>when <code>p=5000</code>, this will run forever. 
  environment, python3.4 and python3.5, numpy 1.11.0 </p>
  
  <p>Is it really a bug or did I miss something? </p>