How to use cholupdate in updating cholesky decomposition after adding/removal of a row and a column

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Chugh
Chugh 2018-11-9
编辑： Chugh 2018-11-9
Hi, I have been trying to use cholupdate for updating cholesky decomposition. I have a matrix of size N x N, and after getting a new point, it becomes N+1 x N+1. I want to get a cholesky decomposition of new matrix using the previous decomposition. I found some solutions on the internet but they are not generic to add/remove a new row and column at any position. Is there any way to use cholupdate in such case?

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