LinearAlgebra/transformCovariance.mo

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Documentation: LinearAlgebra.transformCovariance

within LinearAlgebra;

function transformCovariance "Covariance under a linear map"
  input Real transform[:, :];
  input Real covariance[size(transform, 2), size(transform, 2)];
  output Real transformedCovariance[size(transform, 1), size(transform, 1)];
protected
  Real product[size(transform, 1), size(transform, 2)];
algorithm
  product := transform * covariance;
  transformedCovariance := product * transpose(transform);
  annotation(Inline=false);
end transformCovariance;