Utilities for the IWLS sampler.


mvn_log_prob(x, mean, chol_inv_cov)

Returns the log-density of a multivariate normal distribution.

mvn_sample(prng_key, mean, chol_inv_cov)

Samples from the normal distribution based on the Cholesky decomposition of the inverse covariance matrix.

solve(chol_lhs, rhs)

Solves a system of linear equations chol_lhs @ x = rhs for x by applying forward and backward substitution.