Re: [eigen] SimplicialCholesky - subclass or patch?

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I would very much support any additions to Eigen that allow direct access to the L matrix in a sparse Cholesky decomposition. I am currently working on a surrogate modelling application and have recently switched over to Eigen in all my code. The main reason I need access to L is to update the factorisation without having to re-factorise the whole thing when I add a couple of extra rows. I am comfortable doing this for the dense case but I am yet to get to grips with the sparse version because I can't get at L directly. I have been able to do a limited amount of sparse updating using cholmod, but I would like to try and implement it in way that is independent of the sparse solver.

Douglas: Would you be willing to send me your SimplicalCholesky subclass?


On 28/06/2011 19:00, Douglas Bates wrote:
I realize that the Sparse module is not stable in Eigen 3.0.1 and the
SimplicialCholesky class is in the unsupported directory.
Nevertheless, these are exactly what I need for a central calculation
in my research.  (If you want to know the details I include a draft of
a paper describing the particular calculations being done.  You can
skip to sections 2.3, 2.4 and 2.6 for the relevant steps).

Current versions of our code are based on SparseSuite with a rather
clunky interface from R.  I would much prefer to use Eigen but, as
shown in the enclosed description, I need to access the triangular
matrix L from the LLt decomposition and I need a method like
logAbsDeterminant for the SimplicialCholesky classes.  I can do this
by subclassing the SimplicialCholesky templated class and have done
so.  A better long term solution would be to produce and submit
patches for SimplicialCholesky.h but before doing so I would like to
check that it would be worthwhile.  If that code is not considered
viable in the long term then I will stick with subclassing rather than
modifying that class.  Could someone from the core group indicate if
you would want to receive patches for that file?  I can't guarantee
that I will get all the myriad details of the Traits right the first
time around but I am willing to learn.

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