Dense Cholesky update in Python

Question

Could anyone point me to a library/code allowing me to perform low-rank updates on a Cholesky decomposition in python (numpy)? Matlab offers this functionality as a function cal

Answer 1

This should do a rank-1 update or downdate on numpy arrays R and x with sign '+' or '-' corresponding to update or downdate. (Ported from MATLAB cholupdate at the Wikipedia page: http://en.wikipedia.org/wiki/Cholesky_decomposition):

def cholupdate(R,x,sign):
    import numpy as np
      p = np.size(x)
      x = x.T
      for k in range(p):
        if sign == '+':
          r = np.sqrt(R[k,k]**2 + x[k]**2)
        elif sign == '-':
          r = np.sqrt(R[k,k]**2 - x[k]**2)
        c = r/R[k,k]
        s = x[k]/R[k,k]
        R[k,k] = r
        if sign == '+':
          R[k,k+1:p] = (R[k,k+1:p] + s*x[k+1:p])/c
        elif sign == '-':
          R[k,k+1:p] = (R[k,k+1:p] - s*x[k+1:p])/c
        x[k+1:p]= c*x[k+1:p] - s*R[k, k+1:p]
      return R