A modified algorithm for accurate inverse Cholesky factorization

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概要

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• This paper is concerned with an inverse matrix factorization based on Cholesky factorization for ill-conditioned matrices. Recently, Ogita and Oishi derived an iterative algorithm to calculate an accurate approximate inverse of the exact Cholesky factor for such matrices. In this paper, a modified version of the algorithm is proposed. It is explained that the proposed algorithm gives more accurate results than the original one by a numerical analysis. Numerical evidence is also shown.

著者

• Ogita Takeshi

  Division of Mathematical Sciences, Tokyo Woman's Christian University

• Ogita Takeshi

  Division of Mathematical Sciences, School of Arts and Sciences, Tokyo Woman's Christian University

• Yanagisawa Yuka

  Graduate School of Fundamental Science and Engineering, Waseda University

関連論文

• Generalization of error-free transformation for matrix multiplication and its application
• A modified algorithm for accurate inverse Cholesky factorization

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