On the Perturbation of the Cholesky Factorization
Zlatko Drmač, Matjaž Omladič, Krešimir Veselić · SIAM Journal on Matrix Analysis and Applications · 1994
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.