On the Perturbation of LU and Cholesky Factors*
On the Perturbation of LU and Cholesky Factors*
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Date
1998-10-15
Authors
Stewart, G. W.
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Abstract
In a recent paper, Chang and Paige have shown that the
usual perturbation bounds for Cholesky factors can systematically
overestimate the errors. In this note we sharpen their results and extend
them to the factors of the LU decomposition. The results are based on a
new formula for the first order terms of the error in the factors.
(Also cross-referenced as UMIACS-TR-95-93)