Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [update]

The tag has no usage guidance.

6
votes
2answers
236 views

inertia count sparse matrix with dense low-rank perturbation

I would like to determine the number of negative eigenvalues (inertia count) of the $(N \times N)$ symmetric real matrix $K - \sigma M$, with $K$ a positive-definite sparse matrix and $M$ a positive-...
1
vote
1answer
342 views

Clever ways to update LU factorization for ridge regression

Ridge regression can be posed as minimizing the following objective function (over $x$): $$\frac{1}{2} \lVert Ax - b \lVert_2^2 ~+ \frac{\lambda}{2} \lVert x \lVert_2^2 $$ Which has a closed form ...
4
votes
2answers
930 views

Computational complexity and implementation of UDU Modified Cholesky Rank 1 Update

I am attempting to increase the performance of a legacy Kalman Filter implementation. The state covariance is factored in terms of UDU, i.e. $\mathbf{P} = \mathbf{U}\mathbf{D}\mathbf{U}^T$. Many ...
2
votes
2answers
1k views

Writing Real Symmetric Matrices as Linear Combination of Rank One Symmetric Terms $uu^T$

Given a real symmetric matrix $M$, ostensibly of "low rank", efficiently find an expression $M = \sum \alpha_i u_i u_i^T$ using the number of terms rank($M$). A 2011 StackOverflow Question Dense ...