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 (2021). higham/modified-cholesky (https://github.com/higham/modified-cholesky), GitHub. Retrieved .
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As a rectification on my last review, I was wrong, the original matrix is constructed as (P'LDMCL'P) not as (P'LDL'P) and the software works fine