Casting low-rank CholeskyPivoted to Matrix (#33775)

JuliaLang · Nov 9, 2019 · 7212602 · 7212602
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diff --git a/stdlib/LinearAlgebra/src/cholesky.jl b/stdlib/LinearAlgebra/src/cholesky.jl
@@ -396,7 +396,8 @@ Array(C::Cholesky) = Matrix(C)
 
 function AbstractMatrix(F::CholeskyPivoted)
     ip = invperm(F.p)
-    (F.L * F.U)[ip,ip]
+    U = F.U[1:F.rank,ip]
+    U'U
 end
 AbstractArray(F::CholeskyPivoted) = AbstractMatrix(F)
 Matrix(F::CholeskyPivoted) = Array(AbstractArray(F))

diff --git a/stdlib/LinearAlgebra/test/cholesky.jl b/stdlib/LinearAlgebra/test/cholesky.jl
@@ -392,4 +392,11 @@ end
 
 end
 
+@testset "issue #33704, casting low-rank CholeskyPivoted to Matrix" begin
+    A = randn(1,8)
+    B = A'A
+    C = cholesky(B, Val(true), check=false)
+    @test B ≈ Matrix(C)
+end
+
 end # module TestCholesky