Higham, Nicholas J. (2008) Cholesky Factorization. [MIMS Preprint]
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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 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 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/1199 |
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