diff --git a/src/probnum/random_variables/_normal.py b/src/probnum/random_variables/_normal.py index 230ffa7227..29f679c527 100644 --- a/src/probnum/random_variables/_normal.py +++ b/src/probnum/random_variables/_normal.py @@ -589,15 +589,9 @@ def _symmetric_kronecker_identical_factors_sample( size=size_sample, random_state=self.random_state ) - # Cholesky decomposition - eps = 10 ** -12 # damping needed to avoid negative definite covariances - cholA = scipy.linalg.cholesky( - self._cov.A.todense() + eps * np.eye(n), lower=True - ) - # Appendix E: Bartels, S., Probabilistic Linear Algebra, PhD Thesis 2019 samples_scaled = linops.Symmetrize(dim=n) @ ( - linops.Kronecker(A=cholA, B=cholA) @ stdnormal_samples + self.cov_cholesky @ stdnormal_samples ) # TODO: can we avoid todense here and just return operator samples?