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kose-y / cholupdate.py
Created May 5, 2016 13:44 — forked from mattjj/cholupdate.py
cholesky updates and downdates
from __future__ import division
import numpy as np
from numpy.random import randn
from scipy.linalg.blas import drot, drotg
# references for updates:
# - Golub and van Loan (4th ed.) Section 6.5.4
# - http://mathoverflow.net/questions/30162/is-there-a-way-to-simplify-block-cholesky-decomposition-if-you-already-have-deco
#
# references for downdates:
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kose-y / springer-free-maths-books.md
Created December 29, 2015 16:43 — forked from bishboria/springer-free-maths-books.md
Springer have made a bunch of books available for free, here are the direct links