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  Craig B. Markwardt, NASA/GSFC Code 662, Greenbelt, MD 20770


  Modified Cholesky Factorization of a Symmetric Matrix

Major Topics

  Linear Systems

Calling Sequence



  Given a symmetric matrix A, the MCHOLDC procedure computes the
    A + E = TRANSPOSE(U) ## D ## U
  where A is the original matrix (optionally permuted if the PIVOT
  keyword is set), U is an upper triangular matrix, D is a diagonal
  matrix, and E is a diagonal error matrix.
  The standard Cholesky factorization is only defined for a positive
  definite symmetric matrix. If the input matrix is positive
  definite then the error term E will be zero upon output. The user
  may in fact test the positive-definiteness of their matrix by
  factoring it and testing that all terms in E are zero.
  If A is *not* positive definite, then the standard Cholesky
  factorization is undefined. In that case we adopt the "modified"
  factorization strategy of Gill, Murray and Wright (p. 108), which
  involves adding a diagonal error term to A in order to enforce
  positive-definiteness. The approach is optimal in the sense that
  it attempts to minimize E, and thus disturbing A as little as
  possible. For optimization problems, this approximate
  factorization can be used to find a direction of descent even when
  the curvature is not positive definite.
  The upper triangle of A is modified in place. By default, the
  lower triangle is left unchanged, and the matrices D and E are
  actually returned as vectors containing only the diagonal terms.
  However, if the keyword OUTFULL is set then full matrices are
  returned. This is useful when matrix multiplication will be
  performed at the next step.
  The modified Cholesky factorization is most stable when pivoting is
  performed. If the keyword PIVOT is set, then pivoting is performed
  to place the diagonal terms with the largest amplitude in the next
  row. The permutation vectors returned in PERMUTE and INVPERMUTE
  can be used to apply and reverse the pivoting.
    [ i.e., (U(PP,*))(*,PP) applies the permutation and
            (U(IPP,*))(*,IPP) reverses it, where PP and IPP are the
            permutation and inverse permutation vectors. ]
  If the matrix to be factored is very sparse, then setting the
  SPARSE keyword may improve the speed of the computations. SPARSE
  is more costly on a dense matrix, but only grows as N^2, where as
  the standard computation grows as N^3, where N is the rank of the
  If the CHOLSOL keyword is set, then the output is slightly
  modified. The returned matrix A that is returned is structured so
  that it is compatible with the CHOLSOL built-in IDL routine. This
  involves converting A to being upper to lower triangular, and
  multiplying by SQRT(D). Users must be sure to check that all
  elements of E are zero before using CHOLSOL.


  A - upon input, a symmetric NxN matrix to be factored.
      Upon output, the upper triangle of the matrix is modified to
      contain the factorization.
  D - upon output, the diagonal matrix D.
  E - upon output, the diagonal error matrix E.

Keyword Parameters

  OUTFULL - if set, then A, D and E will be modified to be full IDL
            matrices than can be matrix-multiplied. By default,
            only the upper triangle of A is modified, and D and E
            are returned as vectors.
  PIVOT - if set, then diagonal elements of A are pivoted into place
          and operated on, in decrease order of their amplitude.
          The permutation vectors are returned in the PERMUTE and
          INVPERMUTE keywords.
  PERMUTE - upon return, the permutation vector which converts a
            vector into permuted form.
  INVPERMUTE - upon return, the inverse permutation vector which
                converts a vector from permuted form back into
                standard form.
  SPARSE - if set, then operations optimized for sparse matrices are
            employed. For large but very sparse matrices, this can
            save a significant amount of computation time.
  CHOLSOL - if set, then A and D are returned, suitable for input to
            the built-in IDL routine CHOLSOL. CHOLSOL is mutually
            exclusive with the FULL keyword.
  TAU - if set, then use the Tau factor as described in the
        "unconventional" modified Cholesky factorization, as
        described by Xie & Schlick.
        Default: the unconventional technique is not used.


  Example 1
  a = randomn(seed, 5,5) ;; Generate a random matrix
  a = 0.5*(transpose(a)+a) ;; Symmetrize it
  a1 = a ;; Make a copy
  mcholdc, a1, d, e, /full ;; Factorize it
  print, max(abs(e)) ;; This matrix is not positive definite
  diff = transpose(a1) ## d ## a1 - e - a
                            ;; Test the factorization by inverting
                            ;; it and subtracting A
  print, max(abs(diff)) ;; Differences are small
  Example 2
  Solving a problem with MCHOLDC and CHOLSOL
  a = [[6E,15,55],[15E,55,225],[55E,225,979]]
  b = [9.5E,50,237]
  mcholdc, a, d, e, /cholsol ;; Factorize matrix, compatible w/ CHOLSOL
  if total(abs(e)) NE 0 then $
      message, 'ERROR: Matrix A is not positive definite'
  x = cholsol(a, d, b) ;; Solve with CHOLSOL
  print, x
        -0.500001 -0.999999 0.500000
  which is within 1e-6 of the true solution.


  Gill, P. E., Murray, W., & Wright, M. H. 1981
    *Practical Optimization*, Academic Press
  Schlick, T. & Fogelson, A., "TNPACK - A Truncated Newton
    Minimization Package for Large- Scale Problems: I. Algorithm and
    Usage," 1992, ACM TOMS, v. 18, p. 46-70. (Alg. 702)
  Xie, D. & Schlick, T., "Remark on Algorithm 702 - The Updated
    Truncated Newton Minimization Package," 1999, ACM TOMS, v. 25,
    p. 108-122.

Modification History

  Written, CM, Apr 2001
  Added CHOLSOL keyword, CM, 15 Feb 2002
  Fix bug when computing final correction factor (thanks to Aaron
    Adcock), CM, 13 Nov 2010
  $Id: mcholdc.pro,v 1.6 2010/11/13 09:45:55 cmarkwar Exp $

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