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KSLCore
/
ksl.utilities.random.rvariable
/
MVNormalRV
/
Companion
/
choleskyDecomposition
cholesky
Decomposition
fun
choleskyDecomposition
(
covariances
:
Array
<
DoubleArray
>
)
:
Array
<
DoubleArray
>
Return
the Cholesky decomposition of the supplied matrix
Parameters
covariances
a valid variance-covariance matrix