update_lazy_linear_multivariate_gaussian_multivariate_gaussian
function update_lazy_linear_multivariate_gaussian_multivariate_gaussian(x:Expression<Real[_]>, A:Expression<Real[_,_]>, μ:Expression<Real[_]>, Σ:Expression<LLT>, c:Expression<Real[_]>, S:Expression<LLT>) -> (Expression<Real[_]>, Expression<LLT>)
Update the parameters of a multivariate Gaussian distribution with a linear transformation and multivariate Gaussian likelihood.
- x: The variate.
- A: Scale.
- μ: Prior mean.
- Σ: Prior covariance.
- c: Offset.
- S: Likelihood covariance.
Returns: the posterior hyperparameters μ'
and Σ'
.