Refined Error Analyses of Cholesky Factorization

DOI10.1137/0720095MaRDI QIDQ3308954zbMATH OpenOpenAlexFDO

Authors Jean Meinguet

Publication date 1983

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0720095

zbMATH Keywords

Cholesky factorizationa priori boundsrounding errorsposteriori boundsnumerical positive definiteness

Mathematics Subject Classification ID

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

Cited in

(7)

• Detection of near-singularity in Cholesky and LDL^ T factorizations
• Rounding-error and perturbation bounds for the Cholesky and \(LDL^ T\) factorizations
• Computing a nearest symmetric positive semidefinite matrix
• An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• The factorability of symmetric matrices and some implications for statistical linear models
• Exactly solving sparse rational linear systems via roundoff-error-free Cholesky factorizations

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