I CVXOPT, the arguments for cvxopt.spmatrix() can also be CVXOPT nx1
dense matrices, i.e., you don't have to create Python lists, although
that
overhead is probably not too severe.
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The next version of CVXOPT will include our own library for
computations
with chordal matrices - including multifrontal Cholesky
factorizations.
http://abel.ee.ucla.edu/chompack/
We did not develop the library primarily for the Cholesky
routines, but they seem to be competitive with CHOLMOD, and
