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;
}
}
