Dan Simpson • 9/4/2024

Random C++ Part 2: Sparse partial inverses in Eigen

This technical article details the implementation of an algorithm to compute the non-zero entries of the inverse of a sparse symmetric positive definite matrix, specifically the elements corresponding to the original matrix's non-zero pattern. It focuses on using the Takahashi recursions with a Cholesky factorization in C++ via the Eigen library, discussing motivation from statistical applications and the challenges of working with sparse matrix internals.

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#c #Sparse Matrix #Cholesky Factorization