This repository contains Python implementations (est.py and spd.py) of the multifidelity covariance estimators in Maurais et al. 2023. main.py can be used to replicate the results of example 4.1 in that same paper.
Citation: A. Maurais, T. Alsup, B. Peherstorfer, and Y. Marzouk. Multi-fidelity covariance estimation in the log-Euclidean geometry. In International Conference on Machine Learning. PMLR, 2023 (Forthcoming).