08-06-2012, 03:43 PM
Introduction of Matrix Inversion Lemma
[attachment=603]
Sometimes we have a solution for Ax=b, and we want a solution for A’x=b, where the difference between A and A’ is a low rank change.
Two approaches:
Partial Matrix refactorization
Find the factor path of the nodes that have changed.
Refactorize all rows in the factor path
Used when A’ will be used many times, or rank is relatively ‘large’.
Matrix Inversions Lemma
[attachment=603]
Sometimes we have a solution for Ax=b, and we want a solution for A’x=b, where the difference between A and A’ is a low rank change.
Two approaches:
Partial Matrix refactorization
Find the factor path of the nodes that have changed.
Refactorize all rows in the factor path
Used when A’ will be used many times, or rank is relatively ‘large’.
Matrix Inversions Lemma