[SciPy-user] modified Cholesky factorization

[Alan G Isaac]

On Fri, 24 Aug 2007, dmitrey apparently wrote:
> I need a way of obtaining modified Cholesky factorization:
> G + E = L D L^T 
> in the algorithm that I'm trying to implement there is a reference to 
> other algorithm, that obtains L and D according to Gill-Murray method. 

http://artsci.wustl.edu/~jgill/papers/gmchol.g

http://www.cs.colorado.edu/~bobby/papers/chol2.ps

hth,
Alan Isaac