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Arbitrary Rank Update to Cholesky Factorization

by Greg von Winckel

 

14 Aug 2005 (Updated 16 Aug 2005)

Code covered by the BSD License  

Solves the Cholesky factored system with arbitrary update.

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Description

Solves Ax=b where A is given in terms of its Cholesky factors plus an arbitrary nonsymmetric, low rank update.

A=R'*R+U*V'

Where R is n by n and U and V are n by r.
Useful in solving finite and spectral element discretizations of boundary value problems.

MATLAB release MATLAB 7 (R14)
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linear algebra Greg von Winckel 22 Oct 2008 07:55:57
cholesky Greg von Winckel 22 Oct 2008 07:55:57
symmetric Greg von Winckel 22 Oct 2008 07:55:57
matrix Greg von Winckel 22 Oct 2008 07:55:57
rank Greg von Winckel 22 Oct 2008 07:55:57
update Greg von Winckel 22 Oct 2008 07:55:57
 

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