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Alex Rivera
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Could anyone point me to a library/code allowing me to perform low-rank updates on a Cholesky decomposition in python (numpy)? Matlab offers this functionality as a function called 'cholupdate'. LINPACK also has this functionality, but it has (to my knowledge) not yet been ported to LAPACK and hence isn't available in e.g. scipy. I found out that scikits.sparse offers a similar function based on CHOLMOD, but my matrices are dense. Is there any code available for python with 'cholupdate''s functionality that's compatible with numpy? Thanks!
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