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Revision 1548 - (download) (annotate)
Mon Sep 11 22:13:07 2006 UTC (12 years, 5 months ago) by maechler
File size: 14046 byte(s)
new nMatrix and subclasses; lsparse change to have x slot; many consequences
\documentclass{article}
%
\usepackage{myVignette}
\usepackage[authoryear,round]{natbib}
\bibliographystyle{plainnat}
%%\VignetteIndexEntry{2nd Introduction to the Matrix Package}
%%\VignetteDepends{Matrix}
\SweaveOpts{engine=R,eps=FALSE,pdf=TRUE,width=5,height=3,strip.white=TRUE}
%
\title{2nd Introduction to the Matrix package}
\author{Martin Maechler and Douglas Bates\\R Core Development Team
  \\\email{maechler@stat.math.ethz.ch}, \email{bates@r-project.org}}
\date{September 2006 ({\tiny typeset on \tiny\today})}
%
\begin{document}
\maketitle
\begin{abstract}

\emph{\Large Why should you want to work with this package and what
  does it do for you?}

  Linear algebra is at the core of many areas of statistical computing
  and from its inception the \Slang{} has supported numerical linear
  algebra

  \FIXME{}

%%   via a matrix data type and several functions and operators,
%%   such as \code{\%*\%}, \code{qr}, \code{chol}, and \code{solve}.
%%   However, these data types and functions do not provide direct access
%%   to all of the facilities for efficient manipulation of dense
%%   matrices, as provided by the Lapack subroutines, and they do not
%%   provide for manipulation of sparse matrices.

%%   The \code{Matrix} package provides a set of S4 classes for dense and
%%   sparse matrices that extend the basic matrix data type.  Methods for
%%   a wide variety of functions and operators applied to objects from
%%   these classes provide efficient access to BLAS (Basic Linear Algebra
%%   Subroutines), Lapack (dense matrix), TAUCS (sparse matrix) and
%%   UMFPACK (sparse matrix) routines.  One notable characteristic of the
%%   package is that whenever a matrix is factored, the factorization is
%%   stored as part of the original matrix so that further operations on
%%   the matrix can reuse this factorization.
\end{abstract}
<<preliminaries, echo=FALSE>>=
options(width=75)
@


\section{Introduction}
\label{sec:Intro}
The most automatic way to use the \code{Matrix} package is via the
\Rfun{Matrix} which is very similar to the standard \RR\ function
\Rfun{matrix},
@
<<ex1>>=
library(Matrix)

M <- Matrix(10 + 1:28, 4, 7)
M
tM <- t(M)
@ %def
Such a matrix can be appended to or indexed,
<<ex2>>=
(M2 <- cbind(-1, M))
M[2, 1]
M[4, ]
@
where the last two statements show customary matrix indexing, returning a
simple numeric vector each\footnote{because there's an additional default
  argument to indexing, \Scode{drop = TRUE}.  If you add
  \Scode{\ ,\ drop = FALSE} you will get submatrices instead simple
  vectors.}
We assign 0 to some columns and rows to ``sparsify'' it,
@
<<set0>>=
M2[, c(2,4:6)] <- 0
M2[2, ] <- 0
M2 <- rbind(0, M2, 0)
@
and then coerce it to a sparse matrix,
@
<<asSparse>>=
sM <- as(M2, "sparseMatrix")
10 * sM
identical(sM * 2, sM + sM)
@ %def
where we also see that multiplication by a scalar keeps sparcity,
but addition with a ``dense'' object does not.
@
<<add1>>=
sM + 10
sM / 10  +  M2 %/% 2
@ %def

Operations on our classed matrices include
(componentwise) arithmetic ($+$, $-$, $*$, $/$, etc) as partly seen above,
comparison ($>$, $\le$, etc), e.g.,
<<Comp1>>=
str(sM > 2)
@
%% debug the above with
%% trace(">", browser, exit=browser,signature=signature("dgCMatrix","numeric"))
returning a logical sparse matrix.
%
Further, \code{"Math"}-operations (such as
\Rfun{exp}, \Rfun{sin} or \Rfun{gamma}) and \code{"Math2"} (\Rfun{round} etc)
and the \code{"Summary"} group of functions, \Rfun{min}, \Rfun{range},
\Rfun{sum}, etc.  Note that all these are implemented via so called
\emph{group methods}, see e.g., \code{?Arith} in \RR.

\TODO{subsetting, subassign}


\FIXME{2nd introduction -- maybe keep some?}
\subsection{\code{Matrix} package for numerical linear algebra}
\label{ssec:intro-linalg}

Linear algebra is at the core of many statistical computing techniques
and, from its inception, the \Slang{} has supported numerical linear
algebra via a matrix data type and several functions and operators,
such as \code{\%*\%}, \code{qr}, \code{chol}, and \code{solve}.
%
%%O Initially the numerical linear algebra functions in \RR{} called
%%O underlying Fortran routines from the Linpack~\citep{Linpack} and
%%O Eispack~\cite{Eispack} libraries but over the years most of these
%%O functions have been switched to use routines from the
%%O Lapack~\cite{Lapack} library.
most of these functions have been switched to use routines from the
Lapack~\cite{Lapack} library which the state-of-the-art implementation.
\FIXME{of numerical dense linear algebra}
%%
Furthermore, \RR{} can be configured to
use accelerated BLAS (Basic Linear Algebra Subroutines), such as those
from the Atlas~\cite{Atlas} project or Goto's BLAS~\cite{GotosBLAS}.
\FIXME{Goto's commercial; mention new ones, like AMD's or Mac's ?}

Lapack provides routines for operating on several special forms of
matrices, such as triangular matrices and symmetric matrices.
\FIXME{matrix decompositions}
%% Furthermore, matrix decompositions like the QR decompositions produce
%% multiple output components that should be regarded as parts of a
%% single object.  There is some support in \RR{} for operations on special
%% forms of matrices (e.g. the \code{backsolve}, \code{forwardsolve} and
%% \code{chol2inv} functions) and for special structures (e.g. a QR
%% structure is implicitly defined as a list by the \code{qr},
%% \code{qr.qy}, \code{qr.qty}, and related functions) but it is not as
%% fully developed as it could be.

Also there is no direct support for sparse matrices in \RR{} although
\citet{koen:ng:2003} have developed the \pkg{SparseM} package for sparse
matrices based on SparseKit.

The \code{Matrix} package provides S4 classes and methods for dense
and sparse matrices.  The methods for dense matrices use Lapack and
BLAS.  The sparse matrix methods use
CHOLMOD~\citep{Cholmod}, CSparse~\citep{Csparse} (which also use BLAS)
\FIXME{}
%%  and TAUCS~\citep{Taucs},
%% UMFPACK~\citep{Umfpack}, and Metis~\citep{Metis}.

\TODO{\Rfun{triu}, \Rfun{tril}, \Rfun{diag}, ...
  and  \command{as(.,.)} , but of course only when they've seen a few
  different ones.}

\TODO{matrix operators include \code{\%*\%}, \Rfun{crossprod},
  \Rfun{tcrossprod}, \Rfun{solve}}

\TODO{\Rfun{expm} is the matrix exponential ... ...}

\TODO{factorizations include \Rfun{Cholesky} (or \Rfun{chol}), \Rfun{lu}, \Rfun{qr} (not yet for dense)}

\TODO{Although generally the result of an operation on dense matrices is
  a dgeMatrix, certain operations return matrices of special types.}
\TODO{E.g. show the distinction between \code{t(mm) \%*\% mm}
  and \code{crossprod(mm)}.}



\bigskip

... ... ...  The following is the old \file{Introduction.Rnw} ... FIXME ... ...

\bigskip

\section{Classes for dense matrices}
\label{sec:DenseClasses}

The \code{Matrix} package provides classes for real (stored as
double precision) and logical dense (and sparse) matrices.
There are provisions to also provide integer and complex (stored as double
precision complex) matrices.
The basic real classes are
\begin{description}
\item[dgeMatrix] Real matrices in general storage mode
\item[dsyMatrix] Symmetric real matrices in non-packed storage
\item[dspMatrix] Symmetric real matrices in packed storage (one triangle only)
\item[dtrMatrix] Triangular real matrices in non-packed storage
\item[dtpMatrix] Triangular real matrices in packed storage (triangle only)
\item[dpoMatrix] Positive semi-definite symmetric real matrices in
  non-packed storage
\item[dppMatrix] \ \ dito \ \ in packed storage
\end{description}
Methods for these classes include coercion between these classes, when
appropriate, and coercion to the \code{matrix} class; methods for
matrix multiplication (\code{\%*\%}); cross products
(\code{crossprod}), matrix norm (\code{norm}); reciprocal condition
number (\code{rcond}); LU factorization (\code{lu}) or, for the
\code{poMatrix} class, the Cholesky decomposition (\code{chol}); and
solutions of linear systems of equations (\code{solve}).

Further, group methods have been defined for the \code{Arith} (basic
arithmetic, including with scalar numbers) and the \code{Math} (basic
mathematical functions) group..

Whenever a factorization or a decomposition is calculated it is
preserved as a (list) element in the \code{factors} slot of the
original object.  In this way a sequence of operations, such as
determining the condition number of a matrix then solving a linear
system based on the matrix, do not require multiple factorizations of
the same matrix nor do they require the user to store the intermediate
results.


\section{Classes for sparse matrices}
\label{sec:SparseClasses}

Used for large matrices in which most of the elements are known to
be zero.

\TODO{E.g. model matrices created from factors with a large number of levels}

\TODO{ or from spline basis functions  (e.g. COBS, package \pkg{cobs}), etc.}

\TODO{Other uses include representations of graphs.
  indeed; good you mentioned it!
  particularly since we still have the interface to the \pkg{graph} package.
  I think I'd like to draw one graph in that article --- maybe the
  undirected graph corresponding to a crossprod() result of
  dimension ca. $50^2$}

 \TODO{Specialized algorithms can give substantial savings in amount of
   storage used and execution time of operations.}

 \TODO{Our implementation is based on the CHOLMOD and CSparse libraries by
   Tim Davis.}



\subsection{Representations of sparse matrices}
\label{ssec:SparseReps}


\subsubsection{Triplet representation (\class{TsparseMatrix})}
Conceptually, the simplest representation of a sparse matrix is as a
triplet of an integer vector \code{i} giving the row numbers, an
integer vector \code{j} giving the column numbers, and a numeric
vector \code{x} giving the non-zero values in the matrix. \footnote{For efficiency
reasons, we use ``zero-based'' indexing in teh \code{Matrix} package, i.e.,
the row indices \code{i} are in \code{0:(nrow(.)-1)} and the column indices
\code{j} accordingly}.  In \code{Matrix} the \class{TsparseMatrix} class is the
virtual class of all sparse matrices in triplet representation.
Its main use is for easy input or transfer to other classes.
%% An S4 class definition might be
%% \begin{Schunk}
%% \begin{Sinput}
%% setClass("dgTMatrix",
%%          representation(i = "integer", j = "integer", x = "numeric",
%%                         Dim = "integer"))
%% \end{Sinput}
%% \end{Schunk}

%% \FIXME{never care for ``orientation'' of the T-representation}
%% The triplet representation is row-oriented if elements in the same row
%% were adjacent and column-oriented if elements in the same column were
%% adjacent.

\subsubsection{Compressed representations: \class{CsparseMatrix} (and \class{RsparseMatrix})}

For most sparse operations we use the compressed column-oriented
representation (virtual class \class{CsparseMatrix}) (also known as
``csc'', ``compressed sparse column'').  Here, instead of storing all
column indices \code{j}, only the \emph{start} index of every column is stored.

Analogously, there is also a compressed sparse row (csr) representation,
which e.g. is used in in the \pkg{SparseM} package, and we provide the
\class{RsparseMatrix} for compatibility and completeness purposes, in
addition to basic coercion (\code({as(., \textit{<cl>})} between the classes.
%% (column-oriented triplet) except that \code{i} (\code{j}) just stores
%% the index of the first element in the row (column).  (There are a
%% couple of other details but that is the gist of it.)  These compressed
%% representations remove the redundant row (column) indices and provide
%% faster access to a given location in the matrix because you only need
%% to check one row (column).

There are certain advantages to csc in systems like \RR{}
and Matlab where dense matrices are stored in column-major order,
%% can level-3 BLAS in certain sparse matrix computations.
therefore it is used in sparse matrix libraries such as CHOLMOD or CSparse
of which we make use.

The Matrix package provides the following classes for sparse matrices
\FIXME{many more}
\begin{description}
\item[dgTMatrix] general, numeric, sparse matrices in (a possibly
  redundant) triplet form.  This can be a convenient form in which to
  construct sparse matrices.
\item[dgCMatrix] general, numeric, sparse matrices in the (sorted) compressed
  sparse column format.

\FIXME{maybe explain naming scheme?}

%% \item[dsCMatrix] symmetric, real, sparse matrices in the (sorted)
%%   compressed sparse column format.  Only the upper or the lower triangle is
%%   stored.  Although there is provision for both forms, the lower
%%   triangle form works best with TAUCS.
%% \item[dtCMatrix] triangular, real, sparse matrices in the (sorted)
%%   compressed sparse column format.
\end{description}

\TODO{Can also read and write the Matrix Market and Harwell-Boeing
  representations.}

\TODO{Can convert from a dense matrix to a sparse matrix (or use the
  Matrix function) but going through an intermediate dense matrix may
  cause problems with the amount of memory required.}

\TODO{similar range of operations as for the dense matrix classes.}


\section{More detailed examples of ``Matrix'' operations}

\TODO{Solve a sparse least squares problem and demonstrate memory / speed gain}

\TODO{mention \code{lme4} and \Rfun{lmer}, maybe use one example to show the
  matrix sizes.}


\section{Notes about S4 classes and methods implementation}

Maybe we could % even here (for R News, not only for JSS)
give   some glimpses of implementations at least on the \RR{} level ones?

 \TODO{The class hierarchy: a non-trivial tree where only the leaves
    are ``actual'' classes.}

 \TODO{The main advantage of the multi-level hierarchy is that
    methods can often be defined on a higher (virtual class) level
    which ensures consistency [and saves from ``cut \& paste'' and
    forgetting things]}

 \TODO{Using Group Methods}


\section{Session Info}

<<sessionInfo, results=tex>>=
toLatex(sessionInfo())
@

\bibliography{Matrix}

\end{document}

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