add sparse cholesky functionality#168
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paciorek wants to merge 9 commits into
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C++ implementations for sparse chol operations.
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@perrydv I think it makes sense for you to give this a quick review before I merge (no big urgency, though I'd like to merge this sooner rather than later). There's a bit of template metaprogramming, and more generally, a few other things where I was working off prior code without having a deep understanding. |
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I think I'd like to merge this in without formal testing and add testing as part of a bigger push to finalize all linear algebra, including dense cholesky factorization and handling of LDLT for numerical robustness.