RoyLab
RoyLab
/ cholupdate.py
Last active
September 27, 2016 09:28
— forked from mattjj/cholupdate.py
cholesky updates and downdates
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| from __future__ import division | |
| import numpy as np | |
| from numpy.random import randn | |
| from scipy.linalg.blas import drot, drotg | |
| # references for updates: | |
| # - Golub and van Loan (4th ed.) Section 6.5.4 | |
| # - http://mathoverflow.net/questions/30162/is-there-a-way-to-simplify-block-cholesky-decomposition-if-you-already-have-deco | |
| # | |
| # references for downdates: |