Cholesky factorization of PSD matrices #257
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Very limited proof of concept PR to wrap around LAPACK's
dpstrfand carry out the Cholesky Factorization of PSD matrices.In its current state of
ndarray_linalgdoes not handle this use case.See this issue for a discussion.
Another problem is that
ndarray_linalgwill currently return errors withsolvehwhen used on singular but still PSD matrices.