[patch] Add update and downdate functionality to LDLT decomposition
Submitted by tim..@..il.com
Assigned to Nobody
Link to original bugzilla bug (#319)
Version: 3.0
Description
Created attachment 196
A patch to add update/downdate functionality
The LDLT decomposition of a matrix A can be "updated" to yield the decomposition of A + W*W^T. Typically W is a column vector (a "rank-1 update"), but this patch also permits efficient rank-r updates. Moreover, it also supports "downdates," corresponding to removing previously-added columns of W.
Attachment 196, "A patch to add update/downdate functionality":
chol_update.diff