New rigorous perturbation bounds for the generalized Cholesky factorization

Hanyu Li and Yanfei Yang

Applied Mathematics and Computation, 2015, vol. 259, issue C, 668-675

Abstract: Some new rigorous perturbation bounds for the generalized Cholesky factorization with normwise or componentwise perturbations in the given matrix are obtained, where the componentwise perturbation has the form of backward rounding error for the generalized Cholesky factorization algorithm. These bounds can be much tighter than some existing ones while the conditions for them to hold are simple and moderate.

Keywords: Generalized Cholesky factorization; Rigorous perturbation bound; Normwise perturbation; Componentwise perturbation (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:259:y:2015:i:c:p:668-675

DOI: 10.1016/j.amc.2015.03.008

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