Modified Gram-Schmidt-based methods for block downdating the Cholesky factorization

DOI10.1016/J.CAM.2010.09.003MaRDI QIDQ629427zbMATH OpenOpenAlexFDO

Authors Qiaohua Liu

Publication date 9 March 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.09.003

zbMATH Keywords

block downdatingCholesky factorizationhyperbolic modified Gram-Schmidt methodnumerical experimentsnumerical stabilityrandom matricessymmetric positive definite matrix

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Random matrices (algebraic aspects) (15B52) Direct numerical methods for linear systems and matrix inversion (65F05)

Review text

Let \(A\) be an \(n\times n\) symmetric positive definite matrix and \(A = R^T R\) its Cholesky factorization, that is, \(R\) is upper triangular and has positive diagonal entries. Consider the modified matrix \(\tilde A = A - X^T X = R^T R - X^T X\), where \(X\) is an \(t\times n\) matrix, and assume that \(\tilde A\) remains positive definite. The paper is concerned with computing the Cholesky factorization of \(\tilde A\) by appropriately downdating the Cholesky factorization of \(A\) rather than computing the factorization of \(\tilde A\) explicitly from scratch. A hyperbolic modified Gram-Schmidt method is proposed for this purpose. Several numerical experiments with random matrices and an academic example illustrate the accuracy properties of the newly proposed method.

Recommendations

• Stability Analysis of a Householder-Based Algorithm for Downdating the Cholesky Factorization
• Accurate downdating of a modified Gram-Schmidt QR decomposition
• A Diagonal Modification for the Downdating Algorithm
• Improved Gram-Schmidt type downdating methods
• A Note on Downdating the Cholesky Factorization

Cites work

• A Note on Downdating the Cholesky Factorization
• Accurate downdating of a modified Gram-Schmidt QR decomposition
• Accurate Downdating of Least Squares Solutions
• Block Downdating of Least Squares Solutions
• scientific article; zbMATH DE number 852536 (Why is no real title available?)
• Hyperbolic Householder Transforms
• Improved Gram-Schmidt type downdating methods
• Loss and Recapture of Orthogonality in the Modified Gram–Schmidt Algorithm
• Stability Analysis of a Householder-Based Algorithm for Downdating the Cholesky Factorization
• Stabilized hyperbolic Householder transformations

Cited in

(9)

• Perturbation analysis for block downdating of a Cholesky decomposition
• Block Gram-Schmidt downdating
• A recursive three-stage least squares method for large-scale systems of simultaneous equations
• Incomplete hyperbolic Gram-Schmidt-based preconditioners for the solution of large indefinite least squares problems
• A Diagonal Modification for the Downdating Algorithm
• Stability Analysis of a Householder-Based Algorithm for Downdating the Cholesky Factorization
• An efficient implementation of the block Gram--Schmidt method
• A Note on Downdating the Cholesky Factorization
• Block Modified Gram--Schmidt Algorithms and Their Analysis

Describes a project that uses

Uses Software

• LINPACK

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