On the modification of πΏπ·πΏ^{π} factorizations
Roger Fletcher, M. J. D. Powell Β· Mathematics of Computation Β· 1974
A number of methods are compared for modifying an L D L T LD{L^T} factorization of a positive definite matrix A when a matrix of rank one is added to A . Both the efficiency and error propagation characteristics are discussed, and it is shown that a suitable method must be chosen with care. An error analysis of some of the algorithms is given which has novel features. A worked example which also illustrates error growth is presented. Extensions to the methods are desribed which enable them to be used advantageously in representing and updating positive semidefinite matrices.