[Numpy-discussion] factorization updates in numpy

Pauli Virtanen pav at iki.fi
Tue Sep 27 05:27:07 EDT 2011

27.09.2011 10:40, Jaroslav Hajek kirjoitti:
> I've been looking into options to do fast low-rank dense matrix
> factorization updates (aka Matlab's qrupdate) with NumPy, but couldn't
> find basically anything. Did I miss something?

At the moment, we do not have equivalents to these routines.

However, such additions would be very welcome! If you wish to contribute
here, we would be interested in adding routines for doing these
operations. There are already some places inside Scipy where such
routines could be used.

> A few years ago I wrote the qrupdate library
> http://sourceforge.net/projects/qrupdate/, and subsequently wrapped it
> for Octave, giving it a broad spectrum of efficient factorization
> updating capabilities - see
> http://www.gnu.org/software/octave/doc/interpreter/Matrix-Factorizations.html#doc%2dqrupdate,
> functions qrupdate, qrinsert, qrdelete, qrshift, cholupdate,
> cholinsert, choldelete, cholshift, luupdate.
> Would there be interest in having similar functions in NumPy? Would
> NumPy or SciPy be a better place?

These routines probably fit in the scope of Scipy: the linear algebra
package in Numpy is kept intentionally bare-bones.

There is one question, though: your qrupdate code is licensed under the
GPL. To include it in Scipy, we need to have it distributable under a
BSD-compatible license. Would you be willing to relicense it?

Pauli Virtanen

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