A Sherman-Morrison approach to the solution of linear systems (Q818235)

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A Sherman-Morrison approach to the solution of linear systems
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    A Sherman-Morrison approach to the solution of linear systems (English)
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    24 March 2006
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    An algorithm is proposed to solve a linear system \(Ax=b\) (\(A\in{\mathbb R}^{n\times n}\)) by writing \(A=A_0+P_1+\cdots+P_n\) where \(A_0=\text{diag}(A)\) and \(P_k\) is the rank one matrix that adds the off diagonal elements in the \(k\)th row of \(A\). First \(A_0 x_0 = b\) is solved, and then this solution is updated as implied by the Sherman-Morrison inversion formula for the \(n\) rank one modifications \(P_k\). The complexity is comparable to Gaussian elimination. When some pivoting strategy is implemented, also the accuracy is similar to Gaussian elimination with partial pivoting.
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    direct method
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    matrix inverse
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    comparison of methods
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    algorithm
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    Sherman-Morrison inversion formula
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    complexity
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    Gaussian elimination
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    pivoting strategy
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