Hack to add cholupdate functionality from qrupdate in Julia

cholupdate.jl

function cholupdate!(S::Matrix{Float64}, u::Vector{Float64}, downdate::Bool=false, checks::Bool=true)

    n = size(S,1)

    if checks
        @assert size(S,2) == n
        @assert length(u) == n
        @assert all(diag(S) .!= 0)
    end #if    

    u, w = copy(u), zeros(n)
    status = Ref{Int32}(0)

    if downdate 
        ccall( (:dch1dn_, "libqrupdate"), Void, 
            (Ref{Int32}, Ptr{Float64}, Ref{Int32}, Ptr{Float64}, Ptr{Float64}, Ref{Int32}),
            n, S, n, u, w, status)
    else  
        ccall( (:dch1up_, "libqrupdate"), Void, 
            (Ref{Int32}, Ptr{Float64}, Ref{Int32}, Ptr{Float64}, Ptr{Float64}),
            n, S, n, u, w)
    end #if

    status = status[]

    if status == 0 
        return S
    elseif status == 1
        error("Update violates positive semi-definiteness")
    elseif status == 2
        error("Input matrix is singular")
    else
        error("An unspecified error occurred")
    end #if

end #cholupdate!

function cholupdate!(S::Matrix{Float64}, U::Matrix{Float64},
                downdate::Bool=false, checks::Bool=true)

    n = size(S,1)

    if checks
        @assert size(S, 2) == n
        @assert size(U, 1) == n
        @assert all(diag(S) .!= 0)
    end #if

    for i in 1:size(U, 2)
        cholupdate!(S, U[:,i], downdate, false)
    end #for

    return S

end #cholupdate!