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Cholesky decomposition with Intel MKL #207

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costashatz opened this issue Jan 18, 2017 · 1 comment

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costashatz commented Jan 18, 2017

It seems MKL has an implementation for cholesky decomposition..

https://software.intel.com/en-us/node/521465
http://stackoverflow.com/questions/31231428/cholesky-with-scalapack

This could be a nice option to Limbo since we spend a lot time there (esp. with likelihood optimization).

costashatz added the enhancement label

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costashatz commented Jun 2, 2017

Partly done with #225, but I am keeping it open to actually test someday with Intel MKL..

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