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Rank 1 update to Cholesky factorization

`R1 = cholupdate(R,x)`

R1 = cholupdate(R,x,'+')

R1 = cholupdate(R,x,'-')

[R1,p] = cholupdate(R,x,'-')

`R1 = cholupdate(R,x)`

where ```
R
= chol(A)
```

is the original Cholesky factorization of `A`

,
returns the upper triangular Cholesky factor of `A + x*x'`

,
where `x`

is a column vector of appropriate length. `cholupdate`

uses
only the diagonal and upper triangle of `R`

. The
lower triangle of `R`

is ignored.

`R1 = cholupdate(R,x,'+')`

is
the same as `R1 = cholupdate(R,x)`

.

`R1 = cholupdate(R,x,'-')`

returns
the Cholesky factor of `A - x*x'`

. An error message
reports when R is not a valid Cholesky factor or when the downdated
matrix is not positive definite and so does not have a Cholesky factorization.

`[R1,p] = cholupdate(R,x,'-')`

will
not return an error message. If `p`

is `0`

, `R1`

is
the Cholesky factor of `A - x*x'`

. If `p`

is
greater than `0`

, `R1`

is the Cholesky
factor of the original `A`

. If `p`

is `1`

, `cholupdate`

failed
because the downdated matrix is not positive definite. If `p`

is `2`

, `cholupdate`

failed
because the upper triangle of `R`

was not a valid
Cholesky factor.

A = pascal(4) A = 1 1 1 1 1 2 3 4 1 3 6 10 1 4 10 20 R = chol(A) R = 1 1 1 1 0 1 2 3 0 0 1 3 0 0 0 1 x = [0 0 0 1]';

This is called a rank one update to `A`

since `rank(x*x')`

is `1`

:

A + x*x' ans =

1 1 1 1 1 2 3 4 1 3 6 10 1 4 10 21

Instead of computing the Cholesky factor with ```
R1 =
chol(A + x*x')
```

, we can use `cholupdate`

:

R1 = cholupdate(R,x) R1 =

1.0000 1.0000 1.0000 1.0000 0 1.0000 2.0000 3.0000 0 0 1.0000 3.0000 0 0 0 1.4142

Next destroy the positive definiteness (and actually make the
matrix singular) by subtracting `1`

from the last
element of `A`

. The downdated matrix is:

A - x*x' ans = 1 1 1 1 1 2 3 4 1 3 6 10 1 4 10 19

Compare `chol`

with `cholupdate`

:

R1 = chol(A-x*x') Error using chol Matrix must be positive definite. R1 = cholupdate(R,x,'-') Error using cholupdate Downdated matrix must be positive definite.

However, subtracting `0.5`

from the last element
of `A`

produces a positive definite matrix, and we
can use `cholupdate`

to compute its Cholesky factor:

x = [0 0 0 1/sqrt(2)]'; R1 = cholupdate(R,x,'-') R1 = 1.0000 1.0000 1.0000 1.0000 0 1.0000 2.0000 3.0000 0 0 1.0000 3.0000 0 0 0 0.7071

`cholupdate`

works only for full matrices.

`cholupdate`

uses the algorithms from the
LINPACK subroutines `ZCHUD`

and `ZCHDD`

. `cholupdate`

is
useful since computing the new Cholesky factor from scratch is an $$O({N}^{3})$$ algorithm, while simply updating
the existing factor in this way is an $$O({N}^{2})$$ algorithm.

[1] Dongarra, J.J., J.R. Bunch, C.B. Moler, and G.W. Stewart, LINPACK Users' Guide, SIAM, Philadelphia, 1979.

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