b{R}^{N \times N}\)</span> is lower
triangular and such that <span class="math inline">\(LL^{\top}\)</span> is positive definite kernel
matrix (implying <span class="math inline">\(L_{n,n} &gt; 0\)</span> for <span class="math inline">\(n \in 1{:}N\)</span>), and <span class="math inline">\(w \in \mathbb{R}^{K}\)</span> is a vector of positive inverse scales, then for <span class="math inline">\(y \in \mathbb{R}^{K \times N}\)</span>, <span class="math display">\[ \text{MultiGPCholesky}(y \, | \ L,w)
= \pro