LDLT decomposition #338
roccafrancesco
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Hi everyone
in many QP optimization algorithms the KKT system is solved through the LDLT decomposition and its variant PKPT=LDLT where P is a permutation matrix that tries to minimize the non-zero values of the KKT system.
At the moment the QP of the hipparchus package uses a different decomposition than that of the paper from which it draws inspiration.
Is this decomposition planned to be implemented in the linear algebra package? (for also eventually new solvers).
The part regarding permutations would also be useful to see (example Fast Minimum Degree Algorithm and Matching Lower Bound
Robert Cummings*3, Matthew Fahrbach†1, and Animesh Fatehpuria)
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