Cholesky decomposition algorithm of skyline matrices
NOTE: This algorithm performs way worse than numpy.linalg.cholesky! If you are searching for faster alternatives you should continue your search.
Python implementation of conversion from numpy matrices to specialized skyline matrix data structure and improved cholesky decomposition based on this data structure.
Documentation including proof that the algorithm is well defined; best, average and worst case performace and possible improvements for skyline matrices of specialized forms.