demo/cholesky.R

In spam: SPArse Matrix

# We illustrate the Cholesky factorization approaches
set.seed(14)

# first start with a full matrix.
xn <- 750
fmat1 <- matrix(rnorm(xn*xn),xn,xn)
fmat1 <- t( fmat1) %*% fmat1
smat1 <- as.spam(fmat1)
smat2 <- smat1 + diag.spam(xn)

# Generic Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( fmat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, direct call
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, without symmetry check
options(spam.cholsymmetrycheck=FALSE)
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, reusing pivoting
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1,pivot=ch1@pivot)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, updating
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- update.spam.chol.NgPeyton( ch1, smat2)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# reset to default
options(spam.cholsymmetrycheck=TRUE)

# now create a sparse matrix.
fmat1[fmat1<3] <- 0
smat1 <- as.spam(fmat1)
smat2 <- smat1 + diag.spam(xn)

# Generic Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( fmat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, direct call
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, without symmetry check
options(spam.cholsymmetrycheck=FALSE)
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, reusing pivoting
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1,pivot=ch1@pivot)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, updating
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- update.spam.chol.NgPeyton( ch1, smat2)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# reset to default
options(spam.cholsymmetrycheck=TRUE)

# now create an even sparser matrix.
fmat1 <- fmat1+20*diag(xn)
fmat1[fmat1<32] <- 0
smat1 <- as.spam(fmat1)
smat2 <- smat1 + 1* diag.spam(xn)

# Generic Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( fmat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, direct call
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, without symmetry check
options(spam.cholsymmetrycheck=FALSE)
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, reusing pivoting
options(spam.cholsymmetrycheck=FALSE)
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- chol.spam( smat1,pivot=ch1@pivot)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# Sparse Cholesky, updating
options(spam.cholsymmetrycheck=FALSE)
tmp <- gc(F);Rprof(memory.profiling=TRUE, interval = 0.01)
ch1 <- update.spam.chol.NgPeyton( ch1, smat2)
Rprof(NULL);print( summaryRprof(memory="both")$by.total)

# reset to default
options(spam.cholsymmetrycheck=TRUE)