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| 1 | +.. image:: https://img.shields.io/badge/arXiv-Preprint-b31b1b |
| 2 | + :target: https://arxiv.org/abs/2503.15372v1 |
| 3 | + :alt: arXiv Preprint |
| 4 | + |
| 5 | +.. image:: https://github.com/kul-optec/hyhound/actions/workflows/linux.yml/badge.svg |
| 6 | + :target: https://github.com/kul-optec/hyhound/actions/workflows/linux.yml |
| 7 | + :alt: CI: Linux |
| 8 | + |
| 9 | +.. image:: https://img.shields.io/pypi/dm/hyhound?label=PyPI&logo=python |
| 10 | + :target: https://pypi.org/project/hyhound |
| 11 | + :alt: PyPI Downloads |
| 12 | + |
| 13 | + |
| 14 | +hyhound |
| 15 | +======= |
| 16 | + |
| 17 | +**Hy**\perbolic **Ho**\useholder transformations for **U**\p- ‘**n**’ **D**\owndating Cholesky factorizations. |
| 18 | + |
| 19 | + |
| 20 | +Purpose |
| 21 | +------- |
| 22 | + |
| 23 | +Given a Cholesky factor :math:`L` of a dense matrix :math:`H`, the |
| 24 | +``hyhound::update_cholesky`` function computes the Cholesky factor |
| 25 | +:math:`\tilde L` of the matrix |
| 26 | + |
| 27 | +.. math:: |
| 28 | +
|
| 29 | + \tilde H = \tilde L \tilde L^\top = H + A \Sigma A^\top, |
| 30 | +
|
| 31 | +where :math:`H,\tilde H\in\mathbb{R}^{n\times n}` with :math:`H \succ 0` |
| 32 | +and :math:`\tilde H \succ 0`, :math:`A \in \mathbb{R}^{n\times m}`, |
| 33 | +:math:`\Sigma \in \mathbb{R}^{m\times m}` diagonal, |
| 34 | +and :math:`L, \tilde L\in\mathbb{R}^{n\times n}` lower triangular. |
| 35 | + |
| 36 | +Computing :math:`\tilde L` in this way is done in |
| 37 | +:math:`mn^2 + \mathcal{O}(n^2 + mn)` operations rather than the |
| 38 | +:math:`\tfrac16 n^3 + \tfrac12 mn^2 + \mathcal{O}(n^2 + mn)` operations |
| 39 | +required for the explicit evaluation and factorization of :math:`\tilde H`. |
| 40 | +When :math:`m \ll n`, this results in a considerable speedup over full |
| 41 | +factorization, enabling efficient low-rank updates of Cholesky |
| 42 | +factorizations, for use in e.g. iterative algorithms for numerical |
| 43 | +optimization. |
| 44 | + |
| 45 | +Additionally, hyhound includes efficient routines for updating |
| 46 | +factorizations of the Riccati recursion for optimal control problems. |
| 47 | + |
| 48 | + |
| 49 | +Preprint |
| 50 | +-------- |
| 51 | + |
| 52 | +The paper describing the algorithms in this repository can be found on arXiv: |
| 53 | +`https://arxiv.org/abs/2503.15372v1 <https://arxiv.org/abs/2503.15372v1>`_ |
| 54 | + |
| 55 | +.. code-block:: bibtex |
| 56 | +
|
| 57 | + @misc{pas_blocked_2025, |
| 58 | + title = {Blocked {Cholesky} factorization updates of the {Riccati} recursion using hyperbolic {Householder} transformations}, |
| 59 | + url = {http://arxiv.org/abs/2503.15372}, |
| 60 | + doi = {10.48550/arXiv.2503.15372}, |
| 61 | + publisher = {arXiv}, |
| 62 | + author = {Pas, Pieter and Patrinos, Panagiotis}, |
| 63 | + month = mar, |
| 64 | + year = {2025}, |
| 65 | + note = {Accepted for publication in the Proceedings of CDC 2025} |
| 66 | + } |
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