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2008.116: Cholesky Factorization

2008.116: Nicholas J. Higham (2008) Cholesky Factorization.

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Abstract

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 2000 > 15 Linear and multilinear algebra; matrix theory
MSC 2000 > 65 Numerical analysis
MIMS number:2008.116
Deposited By:Nick Higham
Deposited On:28 November 2008

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