sparse_chol {SparseChol}

Sparse Cholesky decomposition

Description

Sparse Cholesky decomposition

Usage

sparse_chol(mat)

Arguments

mat

A matrix

Details

Generates the LDL decomposition of a symmetric, sparse matrix using the method described by Timothy Davis (see references). This function accepts a standard matrix, converts to sparse format, generates the LDL decomposition and returns the Cholesky decomposition LD^0.5.

Value

A lower-triangular matrix.

Examples

M <- diag(10)
#put a few random values in
M[lower.tri(M)][seq(1,45,by=5)] <- c(0.1,0.5,0.9,0.6,0.8,0.9,0.2,0.3,0.1)
M[upper.tri(M)][seq(1,45,by=5)] <- c(0.1,0.5,0.9,0.6,0.8,0.9,0.2,0.3,0.1)
L <- sparse_chol(M)