cholPermute {sparseinv}

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)))