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Implement "dragging along" of solutions #4

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marvinpfoertner opened this issue Dec 15, 2020 · 0 comments
Open

Implement "dragging along" of solutions #4

marvinpfoertner opened this issue Dec 15, 2020 · 0 comments
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enhancement New feature or request

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@marvinpfoertner
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marvinpfoertner commented Dec 15, 2020 •
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Sections 2 and 3 in [1] describe how to update solutions to linear systems solved with the Cholesky decomposition.
This is a useful feature, e.g. for online inference in a linear-Gaussian and linear regression

References:
[1] M. Seeger, "Low Rank Updates for the Cholesky Decomposition", 2008
@marvinpfoertner marvinpfoertner added the enhancement New feature or request label Dec 22, 2020
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