Constructor computes the Cholesky decomposition of sigma in place without memory allocation. Furthermore it is assumed to be a symmetric matrix, but only the lower/left half is actually accessed.
covariance matrix
optional flag indicating that sigma is already Cholesky decomposed
Constraints: sigma has to be positive-definite
See Implementation
Constructor computes the Cholesky decomposition of sigma in place without memory allocation. Furthermore it is assumed to be a symmetric matrix, but only the lower/left half is actually accessed.