Chordal Matrix Package—a library for chordal matrix computations¶
Chompack is a library for chordal matrix computations. It includes routines for:
- symbolic factorization
- numeric Cholesky factorization
- forward and back substitution
- maximum determinant positive definite completion
- minimum rank completion
- Euclidean distance matrix completion
- computations with logarithmic barriers for sparse matrix cones
- chordal conversion
- computing a maximal chordal subgraph
The implementation is based on the supernodal-multifrontal algorithms described in these papers:
See also
L. Vandenberghe and M. S. Andersen, Chordal Graphs and Semidefinite Optimization, Foundations and Trends in Optimization, 2015.
M. S. Andersen, J. Dahl, and L. Vandenberghe, Logarithmic barriers for sparse matrix cones, Optimization Methods and Software, 2013.
Applications of these algorithms in optimization include sparse matrix cone programs, covariance selection, graphical models, and decomposition and relaxation methods.