public void Finish(IFeatureCollection collection)
{
var times = collection.GetFeature <ITimeStepsFeature>().Times;
_localMatrix = _model.LocalCorrelationObjects(times);
//var localMatrixObjects = _localMatrix.Select(x=>new CorrelationMatrix()
var pathFeatures = collection.GetFeature <IPathMappingFeature>();
_localMatrixSquare = new List <double[][]>();
var dimNames = pathFeatures.GetDimensionNames();
for (var t = 0; t < _localMatrix.Count; t++)
{
_localMatrixSquare.Add(new double[pathFeatures.NumberOfDimensions][]);
for (var i = 0; i < _localMatrixSquare[t].Length; i++)
{
_localMatrixSquare[t][i] = new double[pathFeatures.NumberOfDimensions];
for (var j = 0; j < _localMatrixSquare[t][i].Length; j++)
{
_localMatrixSquare[t][i][j] = i == j ? 1.0 : (_localMatrix[t].TryGetCorrelation(dimNames[i], dimNames[j], out var correl) ? correl : 0.0);
}
}
}
_decompMatrix = _localMatrixSquare.Select(l => l.Cholesky2()).ToList();
_isComplete = true;
}
