What is the most efficient way to update Cholesky factor if we have rank 2 update to the initial matrix?
In other words: Given a positive-definite matrix A where $$ A = L^T L , A \in \mathbb{R}^{n \times n}$$ and its computed Cholesky factor L we want to compute Cholesky decomposition of rank-2 update: $$ A + M, M \in \mathbb{R}^{n}{n} $$ where M is a rank-2 matrix.