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Cholesky factorization
Author(s) -
Higham Nicholas J.
Publication year - 2009
Publication title -
wiley interdisciplinary reviews: computational statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.693
H-Index - 38
eISSN - 1939-0068
pISSN - 1939-5108
DOI - 10.1002/wics.18
Subject(s) - cholesky decomposition , incomplete cholesky factorization , minimum degree algorithm , factorization , positive definite matrix , computer science , stability (learning theory) , algebra over a field , mathematics , algorithm , pure mathematics , machine learning , eigenvalues and eigenvectors , physics , quantum mechanics
This article aimed at a general audience of computational scientists, surveys the Cholesky factorization for symmetric positive definite matrices, covering algorithms for computing it, the numerical stability of the algorithms, and updating and downdating of the factorization. Cholesky factorization with pivoting for semidefinite matrices is also treated. Copyright © 2009 John Wiley & Sons, Inc. This article is categorized under: Algorithms and Computational Methods > Numerical Methods