rank-k update of a cholesky factor

[hagai_sela]

Hi,
I need to run a rank-k update of a cholesky factor of a matrix. The corresponding matlab routine is cholupdate, the corresponding linpack routine is dchex. Is there any way I can do this using MKL?

Thanks,
Hagai.

[Alexander_K_Intel3]

Quoting - hagai_sela

Hi,
I need to run a rank-k update of a cholesky factor of a matrix. The corresponding matlab routine is cholupdate, the corresponding linpack routine is dchex. Is there any way I can do this using MKL?

Thanks,
Hagai.

Hello Hagai,

Unfortunately the functionality not a part of LAPACK and not available in Intel MKL. You could link the LINPACK function with MKL, than use MKL to perform upper Cholesky factorization and dchex to update theobtained factorization later.

There is an article by Matthias Seeger: "Low Rank Updates for the Cholesky Decomposition", which has a link to another implementation of the functionality which uses BLAS more actively.

W.B.R.,
Alexander.