On the perturbation of LU and Cholesky factors

DOI10.1093/imanum/17.1.1zbMath0876.65016OpenAlexW1983686222MaRDI QIDQ2785703

G. W. Stewart

Publication date: 11 November 1997

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/17.1.1

zbMATH Keywords

perturbationill-conditioningCholesky decomposition\(LU\)-decomposition

Mathematics Subject Classification ID

Roundoff error (65G50) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (13)

Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model ⋮ Stability of block \(LU\) factorization for block tridiagonal block \(H\)-matrices ⋮ On the estimation of numerical error bounds in linear algebra based on discrete stochastic arithmetic ⋮ Perturbation analysis for the generalized Cholesky factorization. ⋮ Perturbation and error analyses of the partitioned \textit{LU} factorization for block tridiagonal linear systems ⋮ Improved rigorous perturbation bounds for the LU and QR factorizations ⋮ Mixed and componentwise condition numbers for matrix decompositions ⋮ A decentralized algorithm for spectral analysis ⋮ Perturbations of Triangular Matrix Factorizations ⋮ On the sensitivity of the LU factorization ⋮ Stability and sensitivity of tridiagonal LU factorization without pivoting ⋮ Matrices with Tunable Infinity-Norm Condition Number and No Need for Pivoting in LU Factorization ⋮ Perturbation bounds for triangular and full rank factorizations

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