covmats.CovViaEnsemble.solve

CovViaEnsemble.solve(b: ndarray[tuple[Any, ...], dtype[float64]], rtol: float = 1e-12, maxiter: int = 1000) → ndarray[tuple[Any, ...], dtype[float64]]

Solve A^{T}Ax = b, with A, the anomalies matrix instance.

Note that the dense covariance matrix is never built.

TODO: explains that it relies on the eigen decomposition.