Improving performance of llh()

My benchmarks show that for small matrices Cholesky decomposition can be performed by Blaze significantly faster that by LAPACK libraries such as MKL and OpenBLAS.

The idea is to implement Cholesky decomposition for matrices smaller than the corresponding DXMATDMATMULT_THRESHOLD in blaze::llh() and for bigger matrices call LAPACK potrf().

Furthermore, it provides the opportunity to perform Cholesky decomposition of matrices whose element type is not supported by LAPACK.

Comments (4)