Stability Analysis of a Householder-Based Algorithm for Downdating the Cholesky Factorization
Adam W. Bojańczyk, Allan O. Steinhardt · SIAM Journal on Scientific and Statistical Computing · 1991
In this paper a new algorithm for downdating the Cholesky factorization is presented and analyzed. The algorithm is based on Householder transformations. It is less expensive than algorithms based on Givens rotations if more than one row is to be removed from the Cholesky product. Rounding error analysis shows that the new method is as stable as the rotation-based methods for solving this problem.