RPCholesky

[Luiz-Rafael Santos]

Hey @tjdiamandis,

We (including @miniyachi and @madeleineudell) would like to use RPCholesky from [1].

I think it would be nice to include this algorithm on RandomizedPreconditioners.jl

If you agree, I will work on it and send a PR ASAP.

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[1] Y. Chen, E. N. Epperly, J. A. Tropp, and R. J. Webber, “Randomly pivoted Cholesky: Practical approximation of a kernel matrix with few entry evaluations.” arXiv, Feb. 22, 2023. doi: 10.48550/arXiv.2207.06503.

[Theo Diamandis]

Sounds great. Feel free to make a PR. Let me know if you have any questions.