Bunch-Kaufman factorization

[juliohm]

Thank you @mohamed82008 for this package. Can it solve JuliaDiff/ForwardDiff.jl#602?

I wonder if we can easily use the factorizations implemented here with Turing.jl models.

[mohdibntarek]

A combination of this and https://github.com/ThummeTo/ForwardDiffChainRules.jl can work yes. And it can be used with Turing if you use ChainRules-compatible AD or ForwardDiff with the above package.

[mohdibntarek]

It can be used assuming we have BK implemented here which we don't yet.