[R] Matrix: how to re-use the symbolic Cholesky factorization?

[Douglas Bates]

On 4/24/07, Gardar Johannesson <johannesson1 at llnl.gov> wrote:
> I have been playing around with sparse matrices in the Matrix
> package, in particularly with the Cholesky factorization of matrices
> of class dsCMatrix. And BTW, what a fantastic package.
>
> My problem is that I have to carry out repeated Cholesky
> factorization of a spares symmetric matrices, say Q_1, Q_2, ...,Q_n,
> where the Q's have the same non-zero pattern. I know in this case one
> does only need to carry out the symbolic factorization _once_ and
> then follow that up with a numerical factorization for each of the
> Q_i's (re-using the general symbolic factorization each time). Does
> anybody know if this is possible using the Matrix package?

At present that is not possible without writing your own C code that
calls functions in the CHOLMOD library of C functions directly.  We'll
add that to the "ToDo" list.  The easiest interface I can picture is
to pass a Cholesky factorization object along with the dsCMatrix
object that contains the new values with the old pattern.