Fast routines for solving large systems of linear equations in R. Makes Eigen Cholesky-, LU-, QR-, and iterative (Conjugate Gradient, BiCGSTAB) solvers for both dense and sparse problems available.
Home Page: https://cran.r-project.org/package=sanic
License: Other
QR and SVD should work anyways, but it seems buggy atm.
Consider checking symmetry.
Currently, CG estimates that fail to converge lead to an error. It might make sense to change this to a warning, and return the latest guess -- especially if the number of iterations is capped. Happens here:
Line 39 in d64bf0b
Could start with more from Matrix, but also possibly around spam?
Atm a matrix is fed in and a result is fed out. Would be interesting to cache decompositions and interface more directly with Eigen.
Also iteratively, Arnoldi and Lanzcos should be implementable.
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