Uniformly sample an orthornormal matrix from the collection of all possible
orthonormal matrices of a certain size. The QR decomposition is used on a
matrix containing Gaussian random numbers. The QR decomposition might not
be the most efficient algorithm under some circumstances.
Stewart, G. W. (1980). The efficient generation of random orthogonal matrices with an
application to condition estimators. SIAM Journal on Numerical Analysis, 17(3), 403-409.