I've uploaded a new version of my LinearAlgebra patch that adds a Cholesky decomposition routine (cholesky_decomposition), as per Frederik's request.
On Fri, 31 Aug 2001, Fredrik Stenberg wrote:
You read my mind......
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Fredrik: I could easily add this to the LinearAlgebra patches I've just submitted. Are you thinking of an interface to the lapack routine dpotrf (cholesky factorization of a real symmteric pos definite matrix), or something else?
Has anyone written a Cholesky factorization for general matrices?
Any package out there?
The only one i know of is the python wrappers around lapack (pylapack).
I could write it myself, but i prefer to be lazy ;))
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