Summary

Proceedings of the 2013 International Symposium on Nonlinear Theory and its Applications

2013

Session Number:C3L-A

Session:

Number:437

A modified algorithm for accurate inverse Cholesky factorization

Yuka Yanagisawa,  Takeshi Ogita,  Shin'ichi Oishi,  

pp.437-437

Publication Date:

Online ISSN:2188-5079

DOI:10.15248/proc.2.437

PDF download (238.9KB)

Summary:
In this paper, an algorithms for accurate matrix factorization based on Cholesky factorization for extremely ill-conditioned matrix is proposed. In 2012, Ogita and Oishi derived an iterative algorithm to calculate a good approximate inverse of the exact Cholesky factor for such matrices. We present a modified version of the algorithm. Moreover, we show the proposed algorithm gives more accurate results than the original algorithm by some numerical experiments.

References:

[1] T. Ogita and S. Oishi, Accurate and robust inverse Cholesky factorization, Nonlinear Theory and Its Applications, IEICE, 3, 103-111, 2012.

[2] Y. Yanagisawa, T. Ogita, Convergence analysis of accurate inverse Cholesky factorization, JSIAM Letters, 5, 25-28, 2013.