sparse Cholesky factorization library for sparse matrices

 Suitesparse is a collection of libraries for computations involving
 sparse matrices.
 .
 The CHOLMOD library provides a set of routines for factorizing sparse
 symmetric positive definite matrices of the form A or AA', updating/downdating
 a sparse Cholesky factorization, solving linear systems, updating/downdating
 the solution to the triangular system Lx=b, and many other sparse matrix
 functions for both symmetric and unsymmetric matrices. Its supernodal Cholesky
 factorization relies on LAPACK and the Level-3 BLAS, and obtains a substantial
 fraction of the peak performance of the BLAS.