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# (C) 2008-2011 Leo Lahti and Olli-Pekka Huovilainen
# All rights reserved.
# FreeBSD License (keep this notice)
# "Do not worry about your difficulties in Mathematics. I can assure you
# mine are still greater."
# - Albert Einstein
set.M.isotropic <- function (wtw, sigma.sq, dx) {
# (C) 2008-2011 Leo Lahti and Olli-Pekka Huovilainen
# All rights reserved.
# FreeBSD License (keep this notice)
solve(wtw + diag(sigma.sq, dx, dx))
}
set.M <- function (W, phi) {
# (C) 2008-2011 Leo Lahti and Olli-Pekka Huovilainen
# All rights reserved.
# FreeBSD License (keep this notice)
solve(t(W)%*%W/phi + diag(ncol(W)))
}
set.M.full <- function (W, phi.inv) {#
# (C) 2008-2011 Leo Lahti and Olli-Pekka Huovilainen
# # All rights reserved.
# FreeBSD License (keep this notice) #
# for full marginal covariance
solve(t(W)%*%phi.inv%*%W + diag(ncol(W)))
}
set.M.full2 <- function (W, phi.inv) {
# (C) 2008-2011 Leo Lahti and Olli-Pekka Huovilainen
# All rights reserved.
# FreeBSD License (keep this notice)
# modified from G in Bishop's book
# when phi$total is block-diagonal, we can use sums of the two blocks
# This corresponds to
# M <- set.M.full(W$total, phi.inv$total) # for non-matched case
# but should be faster in general
# for full marginal covariance
solve(t(W$X)%*%phi.inv$X%*%W$X + t(W$Y)%*%phi.inv$Y%*%W$Y + diag(ncol(W$X)))
}
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