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Implemented Cholesky decompositions

Merged Anne Poot requested to merge sparse-cholesky into master

Implemented three kinds of Cholesky decompositon:

  • cholesky, which performs a full Cholesky decomposition in
    O(n3)O(n^3)
    .
  • incomplete_cholesky, which performs an approximate Cholesky decomposition in
    O(n)O(n)
  • sparse_cholesky, which performs a full Cholesky decomposition somwhere between
    O(n3)O(n^3)
    and
    O(n)O(n)
    , depending on the sparsity structure.

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