factor uploaded

Author: lebesgue

SGLP/factor.m

@@ -0,0 +1,12 @@
+function [L U] = factor(A, rho)
+    [m, n] = size(A);
+    if ( m >= n )    % if skinny
+       L = chol( A'*A + rho*speye(n), 'lower' );
+    else            % if fat
+       L = chol( speye(m) + 1/rho*(A*A'), 'lower' );
+    end
+
+    % force matlab to recognize the upper / lower triangular structure
+    L = sparse(L);
+    U = sparse(L');
+end