Cholesky factorization
Nicholas John Higham · Wiley Interdisciplinary Reviews Computational Statistics · 2009
Abstract This article aimed at a general audience of computational scientists, surveys the Cholesky factorization for symmetric positive definite matrices, covering algorithms for computing it, the numerical stability of the algorithms, and updating and downdating of the factorization. Cholesky factorization with pivoting for semidefinite matrices is also treated. Copyright © 2009 John Wiley & Sons, Inc. This article is categorized under: Algorithms and Computational Methods > Numerical Methods