Updating an LU Factorization with Pivoting
Enrique S. Quintana–Ort́ı, Robert A. Geijn · ACM Transactions on Mathematical Software · 2008
We show how to compute an LU factorization of a matrix when the factors of a leading principle submatrix are already known. The approach incorporates pivoting akin to partial pivoting, a strategy we call incremental pivoting . An implementation using the Formal Linear Algebra Methods Environment (FLAME) application programming interface (API) is described. Experimental results demonstrate practical numerical stability and high performance on an Intel Itanium2 processor-based server.