Dyadic Factorization and Efficient Inversion of Sparse Positive Definite Matrices

TL;DR

This paper introduces a novel dyadic matrix packing and inversion method that exploits hidden dyadic sparsity structures to efficiently invert large sparse positive definite matrices, improving upon traditional approaches.

Contribution

It proposes a new packing procedure and an algebraic framework for dyadic matrices, enabling efficient inversion and factorization of matrices with hidden dyadic structures.

Findings

The method effectively reconstructs dyadic structures using $l_1$-norm-based packing.

The algebraic framework unifies sparse factorization and inversion processes.

The implementation in the R package DyadiCarma demonstrates practical efficiency.

Abstract

In inverting large sparse matrices, the key difficulty lies in effectively exploiting sparsity during the inversion process. One well-established strategy is the nested dissection, which seeks the so-called sparse Cholesky factorization. We argue that the matrices for which such factors can be found are characterized by a hidden dyadic sparsity structure. This paper builds on that idea by proposing an efficient approach for inverting such matrices. The method consists of two independent steps: the first packs the matrix into a dyadic form, while the second performs a sparse (dyadic) Gram-Schmidt orthogonalization of the packed matrix. The novel packing procedure works by recovering block-tridiagonal structures, focusing on aggregating terms near the diagonal using the $l_1$-norm, which contrasts with traditional methods that prioritize minimizing bandwidth, i.e. the $l_\infty$-norm. The algorithm performs particularly well for matrices that can be packed into banded or dyadic forms which are moderately dense. Due to the properties of $l_1$-norm, the packing step can be applied iteratively to reconstruct the hidden dyadic structure, which corresponds to the detection of separators in the nested dissection method. We explore the algebraic properties of dyadic-structured matrices and present an algebraic framework that allows for a unified mathematical treatment of both sparse factorization and efficient inversion of factors. For matrices with a dyadic structure, we introduce an optimal inversion algorithm and evaluate its computational complexity. The proposed inversion algorithm and core algebraic operations for dyadic matrices are implemented in the R package DyadiCarma, utilizing Rcpp and RcppArmadillo for high-performance computing. An independent R-based matrix packing module, supported by C++ code, is also provided.