compute_correlations_from_covariance¶

pyapprox.control_variate_monte_carlo.compute_correlations_from_covariance(cov)[source]¶

Compute the correlation matrix of a covariance matrix.

Parameters

covnp.ndarray (nmodels,nmodels): The covariance C between each of the models. The highest fidelity model is the first model, i.e its variance is cov[0,0]

Returns

corrnp.ndarray (nmodels,nmodels): The correlation matrix