File: chol_update.m

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function [L, w] = chol_update (L, w)
beta = 1 ;
n = size (L,1) ;
for j = 1:n
    alpha = w (j) / L (j,j) ;
    beta2 = sqrt (beta^2 + alpha^2) ;
    gamma = alpha / (beta2 * beta) ;
    delta = beta / beta2 ;
    L (j,j) = delta * L (j,j) + gamma * w (j) ;
    w (j) = alpha ;
    beta = beta2 ;
    if (j == n) return, end
    w1 = w (j+1:n) ;
    w (j+1:n) = w (j+1:n) - alpha * L (j+1:n,j) ;
    L (j+1:n,j) = delta * L (j+1:n,j) + gamma * w1 ;
end