A note on rounding-error analysis of Cholesky factorization (Q1822196)
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scientific article; zbMATH DE number 4001301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on rounding-error analysis of Cholesky factorization |
scientific article; zbMATH DE number 4001301 |
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A note on rounding-error analysis of Cholesky factorization (English)
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1987
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The computed Cholesky factor \(L\) of a given symmetric positive definite \(n\times n\) matrix \(A\) fulfills \(LL^ T=A+E\). \textit{J. H. Wilkinson} [Tr. Mezhdunarod. Kongr. Mat., Moskva 1966, 629--640 (1968; Zbl 0197.13301)] has given a bound for \(\| E\|_ 2\). In this paper a sharper bound is given for \(\| E\|_ F\). In the first part of the paper, the author gives an exact analysis of the Cholesky factorization. Part two deals with the numerical process.
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error analysis
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Cholesky factorization
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