The m-files in this collection compute square root free Cholesky
factorizations of the form A=L*D*L', modified Cholesky factorizations
for matrices which may not quite be positive definite, and rank-one
updates of the factorizations.  These routines were developed for a
course in nonlinear programming based on "Practical Optimization" by
Gill, Murray, and Wright.

Routines:

   ldlt       L*D*L' factorization.
   ldltdown   L*D*L' rank one down date of factorization
   ldltup     L*D*L' rank one up date
   mchol      Modified L*D*L' Cholesky factorization for matrices that
              aren't quite positive definite.
   testmchol  Routine to demonstrate/test the above routines.

History:

8/19/94  - Fixed the routines to work under version 4.1.1 of Matlab in
           addition to version 4.2.

12/20/99 - Updated to work under MATLAB 5.x without warnings.

9/6/02 - Now MATLAB 6.1, with some speed enhancements by Michael
Zibulevsky.

Brian Borchers                                            borchers@nmt.edu
Department of Mathematics
New Mexico Tech
Socorro, NM 87801
 

