From deville.yves at alpestat.com  Thu Dec 29 15:05:28 2011
From: deville.yves at alpestat.com (Yves Deville)
Date: Thu, 29 Dec 2011 15:05:28 +0100
Subject: [Rd] Cholesky update/downdate
Message-ID: <4EFC73A8.1080901@alpestat.com>

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.



[Rd] Cholesky update/downdate
Yves Deville