Cholesky Factorization

Higham, Nicholas J. (2008) Cholesky Factorization. [MIMS Preprint]

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This article, aimed at a general audience of computational scientists, surveys the Cholesky factorization for symmetric positive definite matrices, covering algorithms for computing it, the numerical stability of the algorithms, and updating and downdating of the factorization. Cholesky factorization with pivoting for semidefinite matrices is also treated.

Item Type: MIMS Preprint
Additional Information: For Wiley Interdisciplinary Reviews: Computational Statistics
Uncontrolled Keywords: Cholesky factorization, Cholesky decomposition, symmetric matrix, positive definite matrix, positive semidefinite matrix, complete pivoting, partitioned algorithm, level 3 BLAS, downdating, updating, stability, rounding error analysis
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 15 Linear and multilinear algebra; matrix theory
MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User: Nick Higham
Date Deposited: 28 Nov 2008
Last Modified: 08 Nov 2017 18:18

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