Hi, I am interested in solving a linear system Ax = b where A is a sparse, symmetric positive semi-definite matrix. A is not exactly low rank, however, for the estimation problem at hand, one can approximate A with a matrix that has rank around sqrt(p) where A is p x p matrix and still obtain an estimator of x that will have good statistical properties.
Is there an incomplete Cholesky factorization for sparse symmetric matrices in julia? Or an svd implementation for sparse matrices? What would be a recommended way of solving the above problem? Kind regards, Mladen
