add fortran code for rank 1 update of Cholesky

src/dch1up.f

@@ -0,0 +1,57 @@
+c Copyright (C) 2008, 2009  VZLU Prague, a.s., Czech Republic
+c
+c Author: Jaroslav Hajek <highegg@gmail.com>
+c
+c This file is part of qrupdate.
+c
+c qrupdate is free software; you can redistribute it and/or modify
+c it under the terms of the GNU General Public License as published by
+c the Free Software Foundation; either version 3 of the License, or
+c (at your option) any later version.
+c
+c This program is distributed in the hope that it will be useful,
+c but WITHOUT ANY WARRANTY; without even the implied warranty of
+c MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+c GNU General Public License for more details.
+c
+c You should have received a copy of the GNU General Public License
+c along with this software; see the file COPYING.  If not, see
+c <http://www.gnu.org/licenses/>.
+c
+      subroutine dch1up(n,R,ldr,u,w)
+c purpose:      given an upper triangular matrix R that is a Cholesky
+c               factor of a symmetric positive definite matrix A, i.e.
+c               A = R'*R, this subroutine updates R -> R1 so that
+c               R1'*R1 = A + u*u'
+c               (real version)
+c arguments:
+c n (in)        the order of matrix R
+c R (io)        on entry, the upper triangular matrix R
+c               on exit, the updated matrix R1
+c ldr (in)      leading dimension of R. ldr >= n.
+c u (io)        the vector determining the rank-1 update
+c               on exit, u contains the rotation sines
+c               used to transform R to R1.
+c w (out)       cosine parts of rotations.
+c
+      integer n,ldr
+      double precision R(ldr,*),u(*)
+      double precision w(*)
+      external dlartg
+      double precision rr,ui,t
+      integer i,j
+
+      do i = 1,n
+c apply stored rotations, column-wise
+        ui = u(i)
+        do j = 1,i-1
+          t = w(j)*R(j,i) + u(j)*ui
+          ui = w(j)*ui - u(j)*R(j,i)
+          R(j,i) = t
+        end do
+c generate next rotation
+        call dlartg(R(i,i),ui,w(i),u(i),rr)
+        R(i,i) = rr
+      end do
+      end subroutine
+