[image] Cholesky decomposition of low-rank positive-semidefinite matrix You maybe want the “pivoted Cholesky” factorization , via cholesky(A, Val(true)), probably passing check=false. (Under the hood, this calls LAPACK’s dpstrf .) Is there such equivalent for sparse matrix? I don’t see the pi…

Cholesky Decomposition of a Sparse Symmetric Positive Semidefinite (SPSD) Singular Matrix

RoyiAvital September 23, 2024, 5:31pm 20

I did benchmark. They were order of magnitude slower.

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