Implemented Cholesky decompositions
Implemented three kinds of Cholesky decompositon:
-
cholesky
, which performs a full Cholesky decomposition inO(n^3)
. -
incomplete_cholesky
, which performs an approximate Cholesky decomposition inO(n)
-
sparse_cholesky
, which performs a full Cholesky decomposition somwhere betweenO(n^3)
andO(n)
, depending on the sparsity structure.