Optimization for chol2inv

[spinkney]

Summary

The code in chol2inv uses mdivide_left_tri_low and creates an identity matrix to perform the matrix inversion. Instead we can do an in-place solve using mdivide_left_tri which avoids creating an extra matrix.

Tests

None needed.

Side Effects

No.

Release notes

Invert the input matrix in-place which reduces the memory requirement for this function.

Checklist

• Copyright holder: Sean Pinkney

  The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
  - Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
  - Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

• the basic tests are passing

  • unit tests pass (to run, use: ./runTests.py test/unit)
  • header checks pass, (make test-headers)
  • dependencies checks pass, (make test-math-dependencies)
  • docs build, (make doxygen)
  • code passes the built in C++ standards checks (make cpplint)

• the code is written in idiomatic C++ and changes are documented in the doxygen

• the new changes are tested

[rok-cesnovar]

Nice call!