rank_update


function rank_update(S:LLT, x:Real[_]) -> LLT

Rank one update of a Cholesky decomposition.

  • S: Existing Cholesky decomposition of the symmetric positive definite matrix S.
  • x: Vector x.

Returns: A new Cholesky decomposition of the symmetric positive definite matrix S + xx^\top.

function rank_update(S:LLT, X:Real[_,_]) -> LLT

Rank k update of a Cholesky decomposition.

  • S: Existing Cholesky decomposition of the symmetric positive definite matrix S.
  • X: Matrix X.

Returns: A new Cholesky decomposition of the symmetric positive definite matrix S + XX^\top.

The computation is performed as k separate rank-1 updates using the columns of `X

function rank_update(y:Expression<LLT>, z:Expression<Real[_]>) -> MatrixRankUpdate<Expression<Real[_]>, Real[_], Real[_]>

Lazy rank 1 update.

function rank_update(y:LLT, z:Expression<Real[_]>) -> MatrixRankUpdate<Expression<Real[_]>, Real[_], Real[_]>

Lazy rank 1 update.

function rank_update(y:Expression<LLT>, z:Real[_]) -> MatrixRankUpdate<Expression<Real[_]>, Real[_], Real[_]>

Lazy rank 1 update.

function rank_update(y:Expression<LLT>, z:Expression<Real[_,_]>) -> MatrixRankUpdate<Expression<Real[_,_]>, Real[_,_], Real[_,_]>

Lazy rank k update.

function rank_update(y:LLT, z:Expression<Real[_,_]>) -> MatrixRankUpdate<Expression<Real[_,_]>, Real[_,_], Real[_,_]>

Lazy rank k update.

function rank_update(y:Expression<LLT>, z:Real[_,_]) -> MatrixRankUpdate<Expression<Real[_,_]>, Real[_,_], Real[_,_]>

Lazy rank k update.