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QRUPDATE: A LIBRARY FOR FAST UPDATING OF QR AND CHOLESKY DECOMPOSITIONS
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The following operations are supported:
QR rank-1 update (qr1up)
Updates the QR factorization after an additive rank-1 update to the
original matrix (A = A + u*v'). Works for full & economized
factorization.
QR column insert (qrinc)
Updates the QR factorization after an inserting a column to the
original matrix. Works for full & economized factorization.
QR column delete (qrdec)
Updates the QR factorization after an deleting a column from the
original matrix. Works for full & economized factorization.
QR column shift (qrshc)
Updates the QR factorization after a circular shift of columns in
the original matrix. Works for full & economized factorization.
QR row insert (qrinr)
Updates the QR factorization after an inserting a row to the
original matrix. Works for full factorization only.
QR row delete (qrder)
Updates the QR factorization after an deleting a row from the
original matrix. Works for full factorization only.
Cholesky rank-1 update (ch1up)
Updates the Cholesky factorization after positive rank-1 update
A = A + u*u'.
Cholesky rank-1 downdate (ch1dn)
Updates the Cholesky factorization after positive rank-1 downdate
A = A - u*u'.
Cholesky symmetric insert (chinx)
Updates the Cholesky factorization after a symmetric column/row
insertion.
Cholesky symmetric insert (chdex)
Updates the Cholesky factorization after a symmetric column/row
deletion.
Cholesky symmetric shift (chshx)
Updates the Cholesky factorization after a symmetric column/row
left/right circular shift.
LU rank-1 update (lu1up)
Updates the LU factorization after a rank-1 update (A = A + u*v.').
No pivoting available. Faster than lup1up, but less stable.
LU pivoted rank-1 update (lup1up)
Updates a row-pivoted LUP factorization after a rank-1 update
(A = A + u*v.'). Also updates the row permutation matrix. Slower
than lu1up, but more stable.
See the INSTALL file for installation details. Consult individual routines
for documentation.
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