Introduce CHOLMOD integration and covariance representations - #576
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Previously we offered only Eigen's dense LDLT decomposition as a backend for vanilla GP models. In the case of compact spatial kernels or other structured effects, the prior covariance may be sparse. To improve fitting performance on such problems, this commit introduces 1) support for direct CHOLMOD solvers 2) a CovarianceRepresentation based on CHOLMOD decompositions
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Previously we offered only Eigen's dense LDLT decomposition as a backend for vanilla GP models. In the case of compact spatial kernels or other structured effects, the prior covariance may be sparse. To improve fitting performance on such problems, this commit introduces
support for direct CHOLMOD solvers
a CovarianceRepresentation based on CHOLMOD decompositions
This patch is going to fail CI until the bazel registry is updated.