`chol`

performs a Cholesky
decomposition of a symmetric positive definite sparse matrix `x`

of class `spam`

.

1 2 3 4 5 6 7 8 9 |

`x` |
symmetric positive definite matrix of class |

`pivot` |
should the matrix be permuted, and if, with what algorithm, see ‘Details’ below. |

`method` |
Currently, only |

`memory` |
Parameters specific to the method, see ‘Details’ below. |

`eps` |
threshold to test symmetry. Defaults to |

`...` |
further arguments passed to or from other methods. |

`object` |
an object from a previous call to |

`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).

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`

.

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
`spam.options( "cholsymmetrycheck")`

is set to `FALSE`

.

If a permutation is supplied with `pivot`

,
`spam.options( "cholpivotcheck")`

determines if the permutation is
tested for validity (defaults to `TRUE`

).

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

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.

`det.spam`

, `solve.spam`

,
`forwardsolve.spam`

, `backsolve.spam`

and `ordering`

.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 | ```
# 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))
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.