Project details for Incomplete Cholesky Decomposition for Dense Matrices

Logo Incomplete Cholesky Decomposition for Dense Matrices 1.0

by mseeger - November 10, 2007, 22:23:52 CET [ Project Homepage BibTeX Download ]

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The incomplete Cholesky decomposition for a dense symmetric positive definite matrix A is a simple way of approximating A by a matrix of low rank (you can choose the rank). It has been used frequently in machine learning (Fine, Scheinberg; Bach, Jordan). Here is an efficient implementation.

Supported kernels in the moment are RBF (Gaussian) and squared-exponential, I might add some more if I need them. Please consider sending me extensions to new kernels you wrote yourself.

Changes to previous version:

Initial Announcement on

BibTeX Entry: Download
Supported Operating Systems: Linux, Macosx, Windows
Data Formats: None
Archive: download here


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