Dear Dominique, I am not sure that "incomplete Cholesky decomposition" is standard terminology. It is used in John Shawe-Taylor's book on kernel methods for pattern analysis.
What it means is the following, instead of using the Cholesky decomposition A = R'R where R is upper triangular matrix, one approximates A as P'*P where P = R[1:T, :] and T is the rank of approximation. Again, the idea is that one does not compute full Cholesky, but greedily approximates A. Thanks, Mladen On Tuesday, April 21, 2015 at 9:30:54 PM UTC-5, Dominique Orban wrote: > > What do you mean by "incomplete Cholesky"? Could you explain how that > would solve your system?
