On the Incomplete Cholesky Decomposition of a Class of Perturbed Matrices
Gérard Meurant · SIAM Journal on Scientific Computing · 2001
We consider how to cheaply compute an incomplete Cholesky decomposition of symmetric perturbed matrices $C=\epsilon I +A$ with a small $\epsilon$ when knowing an incomplete decomposition of A. Numerical examples are provided that show the effectiveness of the proposed approach.