I have a massive matrix $A$ that I can't hold entirely in memory, but it is possible to easily calculate individual entries ($A(i,j)$). I'm only interested in calculating the diagonal entries of the Cholesky factor of the matrix. Any way to do this without having to store all previously computed rows/columns of the decomposition?
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Is the matrix dense? – Algebraic Pavel Dec 09 '13 at 09:11
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Yes, it is dense. – not_even_wrong Dec 11 '13 at 04:34