A Modified Cholesky Algorithm Based on a Symmetric Indefinite Factorization

DOI10.1137/S0895479896302898zbMath0949.65022WikidataQ56998903 ScholiaQ56998903MaRDI QIDQ4210279

Sheung Hun Cheng, Nicholas J. Higham

Publication date: 21 September 1998

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

numerical examplesCholesky factorizationsymmetric indefinite factorization

Mathematics Subject Classification ID

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

Related Items (21)

A Unified Efficient Implementation of Trust-region Type Algorithms for Unconstrained Optimization ⋮ Anderson acceleration of the alternating projections method for computing the nearest correlation matrix ⋮ Unnamed Item ⋮ Scan statistic tail probability assessment based on process covariance and window size ⋮ A regularized Newton method for degenerate unconstrained optimization problems ⋮ Convergence analysis of a regularized interior point algorithm for the barrier problems with singular solutions ⋮ Add-sub pivoting triangular factorization for symmetric matrix ⋮ Sequentially guided MCMC proposals for synthetic likelihoods and correlated synthetic likelihoods ⋮ Relaxed forms of BBK algorithm and FBP algorithm for symmetric indefinite linear systems ⋮ MODIFIED CHOLESKY DECOMPOSITION FOR SOLVING THE MOMENT MATRIX IN THE RADIAL POINT INTERPOLATION METHOD ⋮ Descent line search scheme using Geršgorin circle theorem ⋮ ARC_q: a new adaptive regularization by cubics ⋮ Modified Cholesky algorithms: A catalog with new approaches ⋮ A new family of high-order directions for unconstrained optimization inspired by Chebyshev and Shamanskii methods ⋮ The factorability of symmetric matrices and some implications for statistical linear models ⋮ On the final steps of Newton and higher order methods ⋮ A regularized Newton method without line search for unconstrained optimization ⋮ Bounds for the Distance to the Nearest Correlation Matrix ⋮ Improving directions of negative curvature in an efficient manner ⋮ Multi-year analysis of solvency capital in life insurance ⋮ Development and evaluation of geostatistical methods for non-Euclidean-based spatial covariance matrices

Uses Software

• LAPACK
• mctoolbox
• testmatrix

This page was built for publication: A Modified Cholesky Algorithm Based on a Symmetric Indefinite Factorization