Fast symmetric factorization of hierarchical matrices with applications (1405.0223v2)

Abstract: We present a fast direct algorithm for computing symmetric factorizations, i.e. $A = WW^T$, of symmetric positive-definite hierarchical matrices with weak-admissibility conditions. The computational cost for the symmetric factorization scales as $\mathcal{O}(n \log^2 n)$ for hierarchically off-diagonal low-rank matrices. Once this factorization is obtained, the cost for inversion, application, and determinant computation scales as $\mathcal{O}(n \log n)$. In particular, this allows for the near optimal generation of correlated random variates in the case where $A$ is a covariance matrix. This symmetric factorization algorithm depends on two key ingredients. First, we present a novel symmetric factorization formula for low-rank updates to the identity of the form $I+UKU^T$. This factorization can be computed in $\mathcal{O}(n)$ time if the rank of the perturbation is sufficiently small. Second, combining this formula with a recursive divide-and-conquer strategy, near linear complexity symmetric factorizations for hierarchically structured matrices can be obtained. We present numerical results for matrices relevant to problems in probability & statistics (Gaussian processes), interpolation (Radial basis functions), and Brownian dynamics calculations in fluid mechanics (the Rotne-Prager-Yamakawa tensor).