tf.contrib.distributions.WishartCholesky

class tf.contrib.distributions.WishartCholesky

The matrix Wishart distribution on positive definite matrices.

This distribution is defined by a scalar degrees of freedom df and a lower, triangular Cholesky factor which characterizes the scale matrix.

Using WishartCholesky is a constant-time improvement over WishartFull. It saves an O(nbk^3) operation, i.e., a matrix-product operation for sampling and a Cholesky factorization in log_prob. For most use-cases it often saves another O(nbk^3) operation since most uses of Wishart will also use the Cholesky factorization.