I am currently needing a loop, keeping track of two large matrices. One is a container for a Cholesky Factor F, and I update it using the on-place version lowrankupdate!. The other one is its inverse, say M, that I can compute simply doing inv(F).
I was looking for a version that would compute inv(F) while overwriting M, something like inv!(M,F), but I cannot find it in the BLAS functions. If it does not exist, what would be the best to avoid allocate memory ? Keeping a third container with a copy of the Choslesky ? I am a bit afraid of the switch in type that occurs when applying inv to a CholeskyFactor object. Any clue would be very appreciated :) Thank you !
