higham/modified-cholesky

version 1.0.0.0 (4.88 KB) by Nick Higham
Modified Cholesky factorization

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Updated 9 Dec 2015

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modified-cholesky contains MATLAB functions that compute a modified Cholesky factorization of a symmetric and possibly indefinite matrix. The algorithm is from
S. H. Cheng and N.J. Higham. "A modified Cholesky algorithm based on a symmetric indefinite factorization". SIAM J. Matrix Anal. Appl., 19(4):1097-1110, 1998.

and uses LDL^T factorization with a symmetric form of rook pivoting proposed by Ashcraft, Grimes, and Lewis. The functions here are based on code originally written by Bobby Cheng and Nick Higham in 1996.

Cite As

Nick Higham (2022). higham/modified-cholesky (https://github.com/higham/modified-cholesky), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
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To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.