Re: [Rd] Cholesky update/downdate

From: Yves Deville <deville.yves_at_alpestat.com>
Date: Fri, 30 Dec 2011 11:47:33 +0100

Hi Douglas,

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
> matrices?
>
> 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
> Lapack.



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