def _build_R(self, lvl, theta):
        
        D = self.D[lvl]
        n_samples = self.n_samples[lvl]
        
        R = np.eye(n_samples) * (1. + NUGGET)
            
        corr = squareform(self.corr(theta, D))
        R = R + corr
        
        return R
Builds the correlation matrix with given theta for the specified level.
dataset/ETHPy150Open OpenMDAO/OpenMDAO-Framework/openmdao.lib/src/openmdao/lib/surrogatemodels/multifi_cokriging_surrogate.py/MultiFiCoKriging._build_R