A modified Cholesky algorithm based on a symmetric indefinite factorization

@inproceedings{SIAMJ2017AMC,
  title={A modified Cholesky algorithm based on a symmetric indefinite factorization},
  author={M SIAMJ.},
  year={2017}
}
  • M SIAMJ.
  • Published 2017
Given a symmetric and not necessarily positive definite matrix A, a modified Cholesky algorithm computes a Cholesky factorization P (A + E)PT = RTR, where P is a permutation matrix and E is a perturbation chosen to make A+ E positive definite. The aims include producing a small-normed E and making A+E reasonably well conditioned. Modified Cholesky factorizations are widely used in optimization. We propose a new modified Cholesky algorithm based on a symmetric indefinite factorization computed… CONTINUE READING
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