Add a MultivariateNormal constructor from the Cholesky decomposition#369
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akern40 wants to merge 1 commit intostatrs-dev:masterfrom
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Add a MultivariateNormal constructor from the Cholesky decomposition#369akern40 wants to merge 1 commit intostatrs-dev:masterfrom
akern40 wants to merge 1 commit intostatrs-dev:masterfrom
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This is a fix to close statrs-dev#351. We introduce the `new_from_cholesky` function to allow users to construct a `MultivariateNormal` from just the Cholesky decomposition. We also create two helper functions to let us delegate the checks and final construction. For now, we do not allow users to pass _both_ a Cholesky decomposition and a covariance matrix. Although this might save a matrix multiplication (to recover the covariance from the Cholesky decomposition), it raises questions about how strictly to check the compatibility of the covariance and the decomposition.
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This is a new feature to close #351. We introduce the
new_from_choleskyfunction to allow users to construct aMultivariateNormalfrom just the Cholesky decomposition. We also create two helper functions to let us delegate the checks and final construction.For now, we do not allow users to pass both a Cholesky decomposition and a covariance matrix. Although this might save a matrix multiplication (to recover the covariance from the Cholesky decomposition), it raises questions about how strictly to check the compatibility of the covariance and the decomposition.