R: Sparse Cholesky factorisation with fill-in reducing...

cholPermute {sparseinv} | R Documentation

## Sparse Cholesky factorisation with fill-in reducing permutations

### Description

This function is similar to chol(A, pivot=T) when A is a sparse matrix. The fill-in reduction permutation is the approximate minimum degree permutation of Davis' SuiteSparse package configured to be slightly more aggressive than that in the Matrix package.

### Usage

    cholPermute(Q)

### Arguments

`Q` | precision matrix of class `matrix`, `Matrix` (column-compressed, i.e., `dgCMatrix` or `dsCMatrix`), or `spam`

### Value

A list with two elements, Qpermchol (the permuted Cholesky factor) and P (the permutation matrix) of class Matrix. Note that `spam` matrices are not returned to comply with the Takahashi_Davis function which requires objects of class `Matrix`.

### References

Havard Rue and Leonhard Held (2005). Gaussian Markov Random Fields: Theory and Applications. Chapman & Hall/CRC Press

### Examples

    require(Matrix)
    cholPermute(sparseMatrix(i = c(1,1,2,2),
                             j = c(1, 2, 1, 2),
                             x = c(0.1, 0.2, 0.2, 1)))

[Package sparseinv version 0.1.3 Index]