On the Perturbation of the Cholesky Factorization
- 1 October 1994
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Matrix Analysis and Applications
- Vol. 15 (4) , 1319-1332
- https://doi.org/10.1137/S0895479893244717
Abstract
The perturbation of the Cholesky factor of a perturbed positive definite matrix is considered. Estimates are included for small perturbations in the spectral norm as well as for large perturbations in the Euclidean norm. The results can be applied to floating point perturbations as well. The perturbation of the Cholesky factor of a perturbed positive definite matrix is considered. Estimates are included for small perturbations in the spectral norm as well as for large perturbations in the Euclidean norm. The results can be applied to floating point perturbations as well.Keywords
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