Apparently use of LDLT in Eigen (and in Matrix for uncompiled) better handles numerical issues with nearly non-pd matrices.
I need to investigate handling this, possibly using compile-time argument to nChol for sparse input matrix. Ideally we'd do this before release.
Apparently use of LDLT in Eigen (and in
Matrixfor uncompiled) better handles numerical issues with nearly non-pd matrices.I need to investigate handling this, possibly using compile-time argument to
nCholfor sparse input matrix. Ideally we'd do this before release.