High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm. Vono, M., Dobigeon, N., & Chainais, P. SIAM Review, 64(1):3–56, 2022.
bibtex   
@Article{Vono_SIREV_2022,
  author       = {M. Vono and N. Dobigeon and P. Chainais},
  title        = {High-dimensional {G}aussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm},
  journal      = {SIAM Review},  
  year         = {2022},
  volume       = {64},
  number       = {1},  
  pages        = {3--56},
  webpage      = {https://github.com/mvono/PyGauss},
  type		   = {International journals}, 
}

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