I'd like to compute the Cholesky factor of the following obviously positive definite matrix of dimensions MxM:
(I + R*R^t)
where R is an upper trapezoidal matrix with dimensions MxN, and M << N. It seems this could be done more stably and efficiently without actually having to calculate R*R^t (unstable) followed by adding the diagonal of ones and then using dpotrf.
Is there anything in LAPACK that could help with this? Thanks!