Compute the covariance matrix between X and X2.

def K(self,X,X2,target):
        """Compute the covariance matrix between X and X2."""
        AX = np.dot(X,self.transform)
        if X2 is None:
            X2 = X
            AX2 = AX
        else:
            AX2 = np.dot(X2, self.transform)
        self.k.K(X,X2,target)
        self.k.K(AX,X2,target)
        self.k.K(X,AX2,target)
        self.k.K(AX,AX2,target)