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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.
The text was updated successfully, but these errors were encountered:
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.
The text was updated successfully, but these errors were encountered: