2008.116: Cholesky Factorization
2008.116: Nicholas J. Higham (2008) Cholesky Factorization.
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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|
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 2000 > 15 Linear and multilinear algebra; matrix theory|
MSC 2000 > 65 Numerical analysis
|Deposited By:||Nick Higham|
|Deposited On:||28 November 2008|