The chol and solve methods for dpoMatrix (Matrix package) are much
faster than the default methods. But, the time required to coerce a
regular matrix to dpoMatrix swamps the advantage.
Hence, I have the following problem, where use of dpoMatrix is worse
than a regular matrix.
library(Matrix)
x <- diag(10)
system.time(
for(r in seq(0.1, 0.9, length.out=1000)) {
m <- r^abs(row(x)-col(x));
chol(m); solve(m);
})
system.time(
for(r in seq(0.1, 0.9, length.out=1000)) {
M <- as(r^abs(row(x)-col(x)), 'dpoMatrix')
chol(M); solve(M);
})
Any ideas?
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