Get_R_z_new: Cholesky decomposition of the covariance matrix in S-GaSP.
In RobustCalibration: Robust Calibration of Imperfect Mathematical Models

Get_R_z_new

R Documentation

Cholesky decomposition of the covariance matrix in S-GaSP.

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

Get_R_z_new(beta_delta,  eta_delta, lambda_z,  R0, kernel_type,  alpha, 
            inv_output_weights)

`beta_delta`	a vector of inverse range parameters.
`eta_delta`	a scalar of nugget parameters.
`lambda_z`	a scalar parameter controling how close the math model to the reality in squared distance.
`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.