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- # Find Cholesky decomposition
- cvalue = numpy.linalg.cholesky( covar_matrix )
- # Locally store size of matrix
- dims = covar_matrix.shape
- # Add normal deviate to value, preserving lower triangular
- covar_proposed = numpy.multiply( cvalue + random_update, numpy.tri(dims[0]))
- # Square and replace
- covar_proposed = covar_proposed*transpose(covar_proposed)
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