Re: Cholesky factorization

>>>>> "rif" == rif  <[email protected]> writes:

    rif> Yes, R\t means solve this matrix, but Matlab/Octave are able to take
    rif> advantage of the fact that R is upper or lower triangular, so solving
    rif> each triangular system takes O(n^2) rather than O(n^3) operations (you
    rif> pay the O(n^3) once when you factor the matrix).

    rif> I guess I'm a little confused.  If we don't already have operations
    rif> like this, what's the point of exposing LU from Lapack?  AFAIK, the
    rif> reason to do an LU decomposition is so that I can then use it to solve
    rif> systems in time O(n^2)...

I also wanted to say that if you know the name of the BLAS or LAPACK
routines that perform Cholesky decomposition and solution, please
point them out and I can create the necessary FFI for them.

Ray