Module bayes_estimate::cholesky

Cholesky and Modified Cholesky factorisations.

UdU’ and LdL’ factorisations of positive semi-definite matrices. Where: U is unit upper triangular d is diagonal L is unit lower triangular

Storage: UD format of UdU’ factor strict_upper_triangle(UD) = strict_upper_triangle(U), diagonal(UD) = d, strict_lower_triangle(UD) ignored or zeroed LD format of LdL’ factor strict_lower_triangle(LD) = strict_lower_triangle(L), diagonal(LD) = d, strict_upper_triangle(LD) ignored or zeroed

Structs

UDU