mat: Add Scale method for TriDense and Cholesky (#267)

* mat: Add Scale method for TriDense and Cholesky

mat/cholesky.go

@@ -308,6 +308,31 @@ func (c *Cholesky) InverseTo(s *SymDense) error {
 	return err
 }
 
+// Scale multiplies the original matrix A by a positive constant using
+// its Cholesky decomposition, storing the result in-place into the receiver.
+// That is, if the original Cholesky factorization is
+//  U^T * U = A
+// the updated factorization is
+//  U'^T * U' = f A = A'
+// Scale panics if the constant is non-positive, or if the receiver is non-zero
+// and is of a different Size from the input.
+func (c *Cholesky) Scale(f float64, orig *Cholesky) {
+	if !orig.valid() {
+		panic(badCholesky)
+	}
+	if f <= 0 {
+		panic("cholesky: scaling by a non-positive constant")
+	}
+	n := orig.Size()
+	if c.isZero() {
+		c.chol = NewTriDense(n, Upper, nil)
+	} else if c.chol.mat.N != n {
+		panic(ErrShape)
+	}
+	c.chol.ScaleTri(math.Sqrt(f), orig.chol)
+	c.cond = orig.cond // Scaling by a positive constant does not change the condition number.
+}
+
 // SymRankOne performs a rank-1 update of the original matrix A and refactorizes
 // its Cholesky factorization, storing the result into the receiver. That is, if
 // in the original Cholesky factorization