Cholesky factorization of semidefinite Toeplitz matrices (Q677932): Difference between revisions

The author carries out an analysis of the Cholesky factorization of semidefinite Toeplitz matrices. Bounds on the backward error are defined, although those bounds look very bad unless the rank of the matrix is low. Examples for which the algorithm fails dramatically are not difficult to construct. The practical stability of the algorithm seems to depend to a significant extent on the size of the matrix in many cases.