Lower or upper square root matrix?
pnkraemer opened this issue · comments
At the moment, the square root matrix of the PSD matrix is assumed to be L as in M=L*L'.
It might be beneficial to switch to the representation with R as in M=R'*R, because there are quite a few QR decompositions in the code, and the R'*R representation might save a few lines of code that simply transposes matrices.