[Rd] Cholesky update/downdate
deville.yves at alpestat.com
Fri Dec 30 11:47:33 CET 2011
thanks for your answer.
My question indeed arises from a sparse matrix context: 'A' is sparse
symmetric, and 'C' must also be sparse since it would otherwise fill.
It comes from a Bayes regression with a very large number of parameters;
a loop over blocks will do the job in my specific case. Yet I wondered
about this since similar need for "covariance updating" may arise from
linear filtering or kriging.
Douglas Bates wrote
> The CHOLMOD library provides sparse matrix methods, especially the
> Cholesky decomposition and modifications to that decomposition, which
> is where the name comes from. Do you expect to work with sparse
> I haven't seem too much code for update/downdate operations on the
> Cholesky decomposition for dense matrices. There were rank-1
> update/downdate methods in Linpack but they didn't make it through to
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