Пример #1
0
        private void ComputeCholeskyDecomp()
        {
            var cd = Sigma.Cholesky();

            cd.Solve(Sigma);
            sqrtSigma = cd.Factor;
            detSigma  = Sigma.Determinant();
            if (detSigma != 0)
            {
                invSigma         = Sigma.Inverse();
                sqrtSigmaInverse = sqrtSigma.Inverse();
            }
            else
            {
                invSigma         = null;
                sqrtSigmaInverse = null;
            }
        }