Analysis of the Cholesky decomposition of a semi-definite matrix
Nicholas John Higham · 1990
Abstract Perturbation theory is developed for the Cholesky decomposition of an n x n symmetric positive semi-definite matrix A of rank r. The matrix W = A ;A12 is found to play a key role in the perturbation bounds, where A11 and A12 are r x rand r x (n - r) submatrices of A respectively.