/// <summary> /// Update the covariance. /// </summary> /// <param name="covariance">The new covariance.</param> public void Update(double[][] covariance) { _cd = new CholeskyDecomposition(new Matrix(covariance)); _covarianceL = _cd.L; _covarianceInv = _cd.InverseCholesky(); _covarianceDet = _cd.GetDeterminant(); }