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a_col
2012 Dec 14
1
Found explanation for R-2.15.2 slowdown in one case; caution for any users of La_chol
...one variable in one function. But it
turned out to be an important change. In case others have code that
is behaving in unexpected says, I'd urge package writers to
double-check their usage of the Cholesky inverse. Here are details:
In R 2.15.0, src/main/lapack.c, we have the prototype:
SEXP La_chol (SEXP A)
BUT in R 2.15.2, the prototype changed:
SEXP La_chol (SEXP A, SEXP pivot)
In the problem case I was studying, the effort to use La_chol was
wrapped in a "try" catch framework, and when Cholesky failed, it fell
back to a singular value decomposition. That's much slower, of...