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LinearMultivariateGaussianMultivariateGaussian


final class LinearMultivariateGaussianMultivariateGaussian(A:Expression<Real[_,_]>, m:MultivariateGaussian, c:Expression<Real[_]>, S:Expression<LLT>) < MultivariateGaussian(A * m.μ + c, llt(A * canonical(m.Σ) * transpose(A) + canonical(S)))

Multivariate linear-Gaussian-Gaussian distribution.

Factory Functions

Name Description
LinearMultivariateGaussianMultivariateGaussian

Member Variables

Name Description
A:Expression<Real[_,_]> Scale.
m:MultivariateGaussian Mean.
c:Expression<Real[_]> Offset.
S:Expression<LLT> Likelihood covariance.

Factory Function Details

function LinearMultivariateGaussianMultivariateGaussian(A:Expression<Real[_,_]>, μ:MultivariateGaussian, c:Expression<Real[_]>, Σ:Expression<LLT>) -> LinearMultivariateGaussianMultivariateGaussian