[SciPy-user] modified Cholesky factorization
Fri Aug 24 09:17:04 CDT 2007
I need a way of obtaining modified Cholesky factorization:
G + E = L D L^T
in the algorithm that I'm trying to implement there is a reference to
other algorithm, that obtains L and D according to Gill-Murray method.
However, I think using simple Cholesky factorization would be enough (if
scipy hasn't Gill-Murray method implemented).
Could anyone inform me what's the bast way to obtain the matrices L and
D in scipy?
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