[Rd] Cholesky update/downdate

From: Yves Deville <deville.yves_at_alpestat.com>
Date: Thu, 29 Dec 2011 15:05:28 +0100


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?  

Best,

Yves

Yves Deville, statistical consultant, France.



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