Parallelize Matrix::Cholesky() in R

Question

I have a R code that relies on Matrix::Cholesky. I am looking for a way to use my computer's several cores.

I find only theoretical research papers, not off-the-shelf packages/methods. Am I missing something out ? If that helps, my matrix has a hierarchical structure.

Answer 1

Thanks to the comments of Nir Graham and Ben Bolker, all it took was to install open BLAS using (in Ubuntu) sudo apt-get install libopenblas-base. Option "super" must be set to "T" though.