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Nov 25, 2022 at 16:12 comment added fedja OK, I believe I figured out how it should really be done. Now I'm testing it on a few millions of random Gaussian matrices plus on some degenerate cases. If it works out to my satisfaction, I'll post the code with which (I hope) you will be happy :)
Nov 22, 2022 at 3:41 comment added fedja I'll try both methods when I have time and see if I agree with you on the speeds (I'm especially concerned about the scenario when $L$ is nearly singular). Unfortunately, it seems like it'll have to wait until the Thanksgiving is over :-)
Nov 19, 2022 at 0:24 comment added Alec Jacobson I'm not terribly happy with my initial guess $V \leftarrow L$. Looking around for how this can be improved.
Nov 19, 2022 at 0:23 history answered Alec Jacobson CC BY-SA 4.0