R: Cholesky Factorization for Sparse Matrices

chol {spam} | R Documentation

## Cholesky Factorization for Sparse Matrices

### Description

`chol` performs a Cholesky decomposition of a symmetric positive definite sparse matrix `x` of class `spam`.

### Usage

    # chol(x, \dots)

    ## S4 method for signature 'spam'
    chol(x, pivot = "MMD", method = "NgPeyton", memory =
                     list(), eps =  getOption("spam.eps"),...)

    # update.spam.chol.NgPeyton(object, x,...)
    ## S4 method for signature 'spam.chol.NgPeyton'
    update(object, x,...)

### Arguments

`x` | symmetric positive definite matrix of class `spam`.
`pivot` | should the matrix be permuted, and if, with what algorithm, see ‘Details’ below.
`method` | Currently, only `NgPeyton` is implemented.
`memory` | Parameters specific to the method, see ‘Details’ below.
`eps` | threshold to test symmetry. Defaults to `getOption("spam.eps")`.

`...` | further arguments passed to or from other methods.
`object` | an object from a previous call to `chol`.

### Details

`chol` performs a Cholesky decomposition of a symmetric positive definite sparse matrix `x` of class `spam`. Currently, there is only the block sparse Cholesky algorithm of Ng and Peyton (1993) implemented (`method="NgPeyton"`).

To pivot/permute the matrix, you can choose between the multiple minimum degree (`pivot="MMD"`) or reverse Cuthill-Mckee (`pivot="RCM"`) from George and Lui (1981). It is also possible to furnish a specific permutation in which case `pivot` is a vector. For compatibility reasons, `pivot` can also take a logical in which for `FALSE` no permutation is done and for `TRUE` is equivalent to `MMD`.

Often the sparsity structure is fixed and does not change, but the entries do. In those cases, we can update the Cholesky factor with `update.spam.chol.NgPeyton` by suppling a Cholesky factor and the updated matrix. Notice that the structure is effectively `object <- update(object, x)`. The update feature without assignement has been disabled.

The option `cholupdatesingular` determines how singular matrices are handled by `update`. The function hands back an error (`"error"`), a warning (`"warning"`) or the value `NULL` (`"null"`).

The Cholesky decompositions requires parameters, linked to memory allocation. If the default values are too small the Fortran routine returns an error to R, which allocates more space and calls the Fortran routine again. The user can also pass better estimates of the allocation sizes to `chol` with the argument `memory=list(nnzR=..., nnzcolindices=...)`. The minimal sizes for a fixed sparsity structure can be obtained from a `summary` call, see ‘Examples’.

The output of `chol` can be used with `forwardsolve` and `backsolve` to solve a system of linear equations.

Notice that the Cholesky factorization of the package `SparseM` is also based on the algorithm of Ng and Peyton (1993). Whereas the Cholesky routine of the package `Matrix` are based on `CHOLMOD` by Timothy A. Davis (`C` code).

### Value

The function returns the Cholesky factor in an object of class `spam.chol.`method. Recall that the latter is the Cholesky factor of a reordered matrix `x`, see also `ordering`.

### Note

Although the symmetric structure of `x` is needed, only the upper diagonal entries are used. By default, the code does check for symmetry (contrarily to `base:::chol`). However, depending on the matrix size, this is a time consuming test. A test is ignored if `options("spam.cholsymmetrycheck")` is set to `FALSE`.

If a permutation is supplied with `pivot`, `options("spam.cholpivotcheck")` determines if the permutation is tested for validity (defaults to `TRUE`).

### Author(s)

Reinhard Furrer, based on Ng and Peyton (1993) Fortran routines

### References

Ng, E. G. and Peyton, B. W. (1993) Block sparse Cholesky algorithms on advanced uniprocessor computers, SIAM J. Sci. Comput., 14, 1034–1056.

Gilbert, J. R., Ng, E. G. and Peyton, B. W. (1994) An efficient algorithm to compute row and column counts for sparse Cholesky factorization, SIAM J. Matrix Anal. Appl., 15, 1075–1091.

George, A. and Liu, J. (1981) Computer Solution of Large Sparse Positive Definite Systems, Prentice Hall.

### See Also

`det.spam`, `solve.spam`, `forwardsolve.spam`, `backsolve.spam` and `ordering`.

### Examples

    # generate multivariate normals:
    set.seed(13)
    n <- 25    # dimension
    N <- 1000  # sample size
    Sigma <- .25^abs(outer(1:n,1:n,"-"))
    Sigma <- as.spam( Sigma, eps=1e-4)

    cholS <- chol( Sigma)
    # cholS is the upper triangular part of the permutated matrix Sigma
    iord <- ordering(cholS, inv=TRUE)

    R <- as.spam(cholS)
    mvsample <- ( array(rnorm(N*n),c(N,n)) %*% R)[,iord]
    # It is often better to order the sample than the matrix
    # R itself.

    # 'mvsample' is of class 'spam'. We need to transform it to a
    # regular matrix, as there is no method 'var' for 'spam' (should there?).
    norm( var( as.matrix( mvsample)) - Sigma, type='m')
    norm( t(R) %*% R - Sigma)

    # To speed up factorizations, memory allocations can be optimized:
    opt <- summary(cholS)
    # here, some elements of Sigma may be changed...
    cholS <- chol( Sigma, memory=list(nnzR=opt$nnzR,nnzcolindices=opt$nnzc))

[Package spam version 2.1-1 Index]