deerlab.choleskycovmat#

choleskycovmat(Q, cholfactors)[source]#

Compute the covariance matrix using Cholesky decomposition.

Parameters:
Qint

Dimension of the covariance matrix.

cholfactorsarray_like

List of Cholesky decomposition factors. The first Q values correspond to the diagonal values of the Cholesky decomposition matrix. The remaining values are used to fill the lower triangular matrix row by row.

Returns:
Σndarray

Covariance matrix.

Examples

>>> choleskycovmat(3, [3.0, 2.0, 1.0, 0.5, 0.5, 0.5])
array([[3.  , 1.5 , 0.75],
       [1.5 , 2.25, 1.25],
       [0.75, 1.25, 1.5 ]])