Get_R_new: Cholesky decomposition of the correlation matrix in GaSP.

Description Usage Arguments Value Author(s)

Description

This function computes the Cholesky decomposition of the correlation matrix in GaSP.

Usage

1
Get_R_new(beta_delta,  eta_delta,  R0, kernel_type,  alpha, inv_output_weights)

Arguments

beta_delta

Inverse range parameters.

eta_delta

nugget parameters.

R0

A List of matrices where the j-th matrix is an absolute difference matrix of the j-th input vector.

kernel_type

Type of kernel. matern_3_2 and matern_5_2 are Matern kernel with roughness parameter 3/2 and 5/2 respectively. pow_exp is power exponential kernel with roughness parameter alpha. If pow_exp is to be used, one needs to specify its roughness parameter alpha.

alpha

Roughness parameters in the kernel functions. It is only useful if the power exponential correlation function is used.

inv_output_weights

The inverse of output weights.

Value

lower triangular matrix of Cholesky decomposition of the correlation matrix in GaSP.

Author(s)

Mengyang Gu [aut, cre]

Maintainer: Mengyang Gu <mgu6@jhu.edu>


RobustCalibration documentation built on May 2, 2019, 9:36 a.m.