Perturbation analysis for the generalized Cholesky factorization
2004
Let K be a symmetric indefinite matrix. Suppose that K=LJL^T is the generalized Cholesky factorization of K. In this paper we present perturbation analysis for the generalized Cholesky factorization. We obtain the first-order bound on the norm of the perturbation in the generalized Cholesky factor. Also, we give rigorous perturbation bounds.
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