rank_update

function rank_update(S:LLT, x:Real[_], a:Real) -> LLT

Rank one update (or downdate) of a Cholesky decomposition.

  • S: Existing Cholesky decomposition of the symmetric positive definite matrix .
  • x: Vector .
  • a: Scalar . Positive for an update, negative for a downdate.

Returns: A new Cholesky decomposition of the symmetric positive definite matrix .

function rank_update(S:LLT, X:Real[_,_], a:Real) -> LLT

Rank update (or downdate) of a Cholesky decomposition.

  • S: Existing Cholesky decomposition of the symmetric positive definite matrix .
  • X: Matrix .
  • a: Scalar . Positive for an update, negative for a downdate.

Returns: A new Cholesky decomposition of the symmetric positive definite matrix .

The computation is performed as separate rank-1 updates using the columns of `X