Incomplete Cholesky

[markusm73]

The pivoted Cholesky recently introduced in LAPACK 3.2 (SPSTRF) does not seem to offer support for early stopping other than by providing a tolerance value. Wouldn't it seem useful to also offer a maximum rank as stopping criterion to essentially perform incomplete cholesky factorization with diagonal pivoting? I guess it's too late to change the API, but maybe this kind of function could be considered as a future addition.

[craiglucas]

Thanks for the suggestion Markus. We will give serious consideration to adding this functionality. Craig