Implementing Low rank update of block-LDLᵀ decomposition in Julia


#1

Hi,

I was wondering if any one has implemented stable algorithms for efficiently updating the block-LDLᵀ decomposition of symmetric indefinite matrices in Julia? I know that the dsytf2* functions in LAPACK compute the decomposition but I was not able to find anything for updating the decomposition.

Professor Danny Sorensen’s thesis UPDATING THE SYMMETRIC INDEFINITE FACTORIZATION WITH APPLICATIONS IN A MODIFIED NEWTON’S METHOD contains one such algorithm including fortran source code on page 140, but the thesis is available as OCR’d pdf therefore I thought of first asking people here on Julia community before typing up the algorithm myself.

Thanks.