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'.