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improved QR & Cholesky updating
From: |
Jaroslav Hajek |
Subject: |
improved QR & Cholesky updating |
Date: |
Sat, 17 Jan 2009 21:08:56 +0100 |
hi,
please consider the changeset:
http://artax.karlin.mff.cuni.cz/~hajej2am/ulozna/octave/qrupdate.diff
improving the qrupdate, qrinsert, qrdelete, qrshift, cholupdate,
cholinsert, choldelete, cholshift.
Summary of changes:
The current version 0 snapshot of qrupdate is deleted from libcruft,
instead qrupdate is a weak dependency.
If found, the above functions are defined, as well as corresponding
methods of QR & CHOL classes in liboctave.
All the updating routines now use more efficient column traversal of
matrices. qrupdate, qrinsert & qrdelete support batch
updating/insertion/deletion of columns (avoids repeated copying of the
matrices).
Maybe most importantly, rank-1 update & column insertion now support
economized factorization.
This (together with the earlier work) makes Octave significantly more
capable w.r.t. factorization updating than M*b.
Applications are optimization routines (fsolve, lsqnonneg).
cheers
--
RNDr. Jaroslav Hajek
computing expert
Aeronautical Research and Test Institute (VZLU)
Prague, Czech Republic
url: www.highegg.matfyz.cz
- improved QR & Cholesky updating,
Jaroslav Hajek <=
- Re: improved QR & Cholesky updating, David Bateman, 2009/01/17
- Re: improved QR & Cholesky updating, Jaroslav Hajek, 2009/01/20
- Re: improved QR & Cholesky updating, John W. Eaton, 2009/01/20
- Re: improved QR & Cholesky updating, Jaroslav Hajek, 2009/01/21
- Re: improved QR & Cholesky updating, John W. Eaton, 2009/01/21
- Re: improved QR & Cholesky updating, Jaroslav Hajek, 2009/01/21
- Re: improved QR & Cholesky updating, John W. Eaton, 2009/01/21
- Re: improved QR & Cholesky updating, Jaroslav Hajek, 2009/01/21
- Re: improved QR & Cholesky updating, John W. Eaton, 2009/01/21