LLTDecomposition

data class LLTDecomposition

Data class for LLT (Cholesky) decomposition, with rank-1 update/downdate.

Properties

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val L: Matrix

Lower-triangular matrix L such that mat = L*L^T

Functions

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In-place rank-1 downdate: mat := mat - x*x^T

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In-place rank-1 update: mat := mat + x*x^T