Add cholesky wrappers.

Author: rofinn

src/functions.jl

@@ -336,3 +336,12 @@ for fun in [:inv, :pinv,
     ]
     @eval LinearAlgebra.$fun(A::KeyedMatrix) = $fun(parent(A))
 end
+
+function LinearAlgebra.cholesky(A::Hermitian{T, <:KeyedArray{T}}; kwargs...) where T
+    return cholesky(parent(A); kwargs...)
+end
+
+function LinearAlgebra.cholesky(A::KeyedMatrix; kwargs...)
+    data = hasnames(A) ? parent(parent(A)) : parent(A)
+    return cholesky(data; kwargs...)
+end

test/_functions.jl

@@ -238,3 +238,19 @@ end
     @test M ≈ MN
 
 end
+
+@testset "linalg" begin
+    using LinearAlgebra
+
+    @testset "cholesky" begin
+        A = rand(10, 3)
+        ka = KeyedArray(A, (0:9, ["a", "b", "c"]))
+        kanda = KeyedArray(A, time=0:9, id=["a", "b", "c"])
+
+        # These should all be equivalent because we aren't wrapping the U and L matrices in
+        # the Factorization
+        @test cholesky(cor(A)) == cholesky(cor(ka)) == cholesky(cor(kanda))
+        @test cholesky(Hermitian(cor(A))) == cholesky(Hermitian(cor(ka))) == cholesky(Hermitian(cor(kanda)))
+        @test all(isposdef, (cor(A), cor(ka), cor(kanda)))
+    end
+end