Perturbation analysis for the generalized Cholesky factorization

  title={Perturbation analysis for the generalized Cholesky factorization},
  author={Wei-guo Wang and Jin-xi Zhao},
  journal={Applied Mathematics and Computation},
Let K be a symmetric indefinite matrix. Suppose that K 1⁄4 LJL is the generalized Cholesky factorization of K. In this paper we present perturbation analysis for the generalized Cholesky factorization. We obtain the first-order bound on the norm of the perturbation in the generalized Cholesky factor. Also, we give rigorous perturbation bounds. 2002 Elsevier Inc. All rights reserved. 

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