[Rd] Cholesky update/downdate

[Yves Deville]

Hi Douglas,

thanks for your answer.

My question indeed arises from a sparse matrix context: 'A' is sparse 
symmetric, and 'C' must also be sparse since it would otherwise fill.

It comes from a Bayes regression with a very large number of parameters; 
a loop over blocks will do the job in my specific case. Yet  I wondered 
about this since similar need for "covariance updating" may arise from 
linear filtering or kriging.

Douglas Bates wrote
> The CHOLMOD library provides sparse matrix methods, especially the
> Cholesky decomposition and modifications to that decomposition, which
> is where the name comes from.  Do you expect to work with sparse
> matrices?
>
> I haven't seem too much code for update/downdate operations on the
> Cholesky decomposition for dense matrices.  There were rank-1
> update/downdate methods in Linpack but they didn't make it through to
> Lapack.