[Rd] Cholesky update/downdate
deville.yves at alpestat.com
Thu Dec 29 15:05:28 CET 2011
Dear R-devel members,
I am looking for a fast Cholesky update/downdate. The matrix A being
symmetric positive definite (n, n) and factorized as
A = L %*% t(L), the goal is to factor the new matrix A +- C %*% t(C)
where C is (n, r). For instance, C is 1-column when adding/removing an
observation in a linear regression. Of special interest is the case
where A is sparse.
Looking at the 'Matrix' package (help and source code), it seems that
the CHOLMOD library shipped with 'Matrix' allows this,
but is not (yet?) interfaced in 'Matrix', where the 'update' method for
Cholesky decomposition objects seems limited to a new matrix A + m*I
with a scalar (diagonal) modification.
If this is true: are there plans to implement such up/downdates?
Yves Deville, statistical consultant, France.
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