Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add "projection" updates #13

Open
marvinpfoertner opened this issue Feb 24, 2021 · 0 comments
Open

Add "projection" updates #13

marvinpfoertner opened this issue Feb 24, 2021 · 0 comments

Comments

@marvinpfoertner
Copy link
Owner

marvinpfoertner commented Feb 24, 2021

When projecting a Gaussian random variable x via Ax onto some (lower-dimensional) subspace, the covariance matrix of the transformed random variable is given by \Sigma' = A \Sigma A^T. The corresponding update to the Cholesky factors can then be realized by means of a QR decomposition.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant