Compute correlation matrix between feature matrics

GP_correlation.py

    def Corr(self, X1, X2, theta):
        """Construct the correlation matrix between X1 and X2
        
        Input
        -----
        X1, X2: 2D arrays, (n_samples, n_features)
        theta: array, correlation legnths for different dimensions
        
        Output
        ------
        K: the correlation matrix
        """
        K = np.zeros((X1.shape[0],X2.shape[0]))
        for i in range(X1.shape[0]):
            K[i,:] = np.exp(-np.sum(theta*(X1[i,:]-X2)**2, axis=1))
            
        return K