Get_R_z_new: Cholesky decomposition of the covariance matrix in S-GaSP.

In RobustCalibration: Robust Calibration of Imperfect Mathematical Models

Cholesky decomposition of the covariance matrix in S-GaSP.

Description

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

Usage

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

Arguments

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.

Value

lower triangular matrix of Cholesky decomposition of the covariance matrix in S-GaSP.

Author(s)

Mengyang Gu [aut, cre]

Maintainer: Mengyang Gu <[e-mail]>

RobustCalibration documentation built on Sept. 8, 2023, 5:23 p.m.