s="math inline">\(L\)</span> be the Cholesky decomposition of
<span class="math inline">\(K(x | \theta)\)</span>, i.e., the lower-triangular matrix <span class="math inline">\(L\)</span> such that <span class="math inline">\(LL^{\top} = K(x | \theta)\)</span>. Then the transformed variable <span class="math inline">\(\mu + L\eta\)</span> has the intended
target distribution,
<span class="math display">\[
  \mu + L\eta \sim \mathsf{multivariate\ normal}(\mu(x), K(x | \theta)).
\]</span></p>
<p>This transform