Covariance matrix interpolation in PyTorch implemented as a torch torch.nn.Module called InterpolateCovariance with the following features:

• Interpolated covariance matrix maintains positive definiteness.
• Convergence to the original covariance matrix near the input coordinates.

The main use case is extending a multivariate gaussian distribution $Z(x_i)$ defined at $N$ descrete strictly increasing series of points $x_1,...,x_N$ to the continuous range $[x_1,x_N]$. Given the covariance of $Z(x_i)$ defined at $x_1,...,x_N$ the InterpolateCovariance module outputs the covariance at an arbitrary set of points.

python -m torch_interpcov