/// <summary>
/// Computes the Cholesky decomposition for a matrix.
/// </summary>
/// <param name="matrix">The matrix to factor.</param>
/// <returns>The Cholesky decomposition object.</returns>
public static Cholesky Cholesky(this Matrix <float> matrix)
{
return((Cholesky)Cholesky <float> .Create(matrix));
}
/// <summary>
/// Computes the Cholesky decomposition for a matrix.
/// </summary>
/// <param name="matrix">The matrix to factor.</param>
/// <returns>The Cholesky decomposition object.</returns>
public static Cholesky Cholesky(this Matrix <Complex32> matrix)
{
return((Cholesky)Cholesky <Complex32> .Create(matrix));
}
/// <summary>
/// Samples a vector normal distributed random variable.
/// </summary>
/// <param name="rnd">The random number generator to use.</param>
/// <param name="mean">The mean of the vector normal distribution.</param>
/// <param name="covariance">The covariance matrix of the vector normal distribution.</param>
/// <returns>a sequence of samples from defined distribution.</returns>
private static Vector <double> SampleVectorNormal(Random rnd, Vector <double> mean, Matrix <double> covariance)
{
var chol = Cholesky <double> .Create(covariance);
return(SampleVectorNormal(rnd, mean, chol));
}
