Rank-1 update and downdate of Cholesky factorization

Implemented in C99 and tested against MATLAB implementation.

Prerequisites

Following compilers have been tested:

• MinGW 4.9.2 C/C++ (TDM-GCC)
• Microsoft Visual C++ 2015 Professional

⚠️ Since these functions are implemented in C99, you cannot use Microsoft Windows SDK 7.1.

How to compile

To compile, type

mex CFLAGS="$CFLAGS -std=c99" CholeskyUpdateReal.c
mex CFLAGS="$CFLAGS -std=c99" CholeskyDowndateReal.c

Or, if you don't need portability:

mex CFLAGS="$CFLAGS -std=c99 -o3 -march=native" CholeskyUpdateReal.c
mex CFLAGS="$CFLAGS -std=c99 -o3 -march=native" CholeskyDowndateReal.c

But why?

These functions were translated from FORTRAN many æons ago since Simulink code generator didn't support MATLAB's cholupdate then.

However, it seems that the current (September 2017) MATLAB Coder version supports cholupdate, so I guess you'll need this implementation only if you don't have the latest MATLAB version.