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Results tagged with cholesky-decomposition
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user 247974
6
votes
1
answer
2k
views
Cholesky decomposition lower triangular in Gaussian process sampling
I am trying to intuitively understand the Cholesky decomposition in gaussian process function sampling. I understand it as as the square root of the covariance matrix being the multivariate generaliza …
- 962
2
votes
1
answer
135
views
Can any covariance factorization $LL^\top$ be used for sampling?
I thought that any factorization of the for $LL^\top$ of a covariance matrix could be used for correlating random noise according to the covariance. I tried doing this with the following code and thre …
- 962