sanic: Solving Ax = b Nimbly in C++
Routines for solving large systems of linear equations in R. Direct and iterative solvers from the Eigen C++ library are made available. Solvers include Cholesky, LU, QR, and Krylov subspace methods (Conjugate Gradient, BiCGSTAB). Both dense and sparse problems are supported.
Solvers
| Solver | Notes | Sparse method | Reference |
|---|---|---|---|
| LU decomposition | Partial pivoting, blocking | Yes | 1, 2 |
| Householder QR decomposition | Column pivoting, good reliability | Yes | 1, 2, 3 |
| Cholesky decomposition | Semidefinite symmetric problems, pivoting | Yes | 1, 2 |
| Conjugate Gradient (CG) | Symmetric problems, Jacobi preconditioner | Always | 1 |
| Least Squares (LS) CG | Rectangular LS problems, LS Jacobi preconditioner | Always | 1 |
| Biconjugate gradient stabilised | Square problems, Jacobi preconditioner | Always | 1 |