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An Incomplete Cholesky Factorization for Dense Symmetric Positive Definite Matrices

dc.contributor.authorLin, Chih-Jenen_US
dc.contributor.authorSaigal, Romeshen_US
dc.date.accessioned2006-09-11T19:35:43Z
dc.date.available2006-09-11T19:35:43Z
dc.date.issued2000-09en_US
dc.identifier.citationLin, Chih-Jen; Saigal, Romesh; (2000). "An Incomplete Cholesky Factorization for Dense Symmetric Positive Definite Matrices." Bit Numerical Mathematics 40(3): 536-558. <http://hdl.handle.net/2027.42/47957>en_US
dc.identifier.issn1572-9125en_US
dc.identifier.issn0006-3835en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/47957
dc.description.abstractIn this paper, we study the use of an incomplete Cholesky factorization (ICF) as a preconditioner for solving dense symmetric positive definite linear systems. This method is suitable for situations where matrices cannot be explicitly stored but each column can be easily computed. Analysis and implementation of this preconditioner are discussed. We test the proposed ICF on randomly generated systems and large matrices from two practical applications: semidefinite programming and support vector machines. Numerical comparison with the diagonal preconditioner is also presented.en_US
dc.format.extent338091 bytes
dc.format.extent3115 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.language.isoen_US
dc.publisherKluwer Academic Publishers; Swets & Zeitlinger ; Springer Science+Business Mediaen_US
dc.subject.otherNumeric Computingen_US
dc.subject.otherMathematics, Generalen_US
dc.subject.otherMathematicsen_US
dc.subject.otherDense Linear Systemsen_US
dc.subject.otherIncomplete Cholesky Factorizationen_US
dc.subject.otherConjugate Gradient Methodsen_US
dc.subject.otherComputational Mathematics and Numerical Analysisen_US
dc.titleAn Incomplete Cholesky Factorization for Dense Symmetric Positive Definite Matricesen_US
dc.typeArticleen_US
dc.subject.hlbsecondlevelPhilosophyen_US
dc.subject.hlbsecondlevelComputer Scienceen_US
dc.subject.hlbtoplevelHumanitiesen_US
dc.subject.hlbtoplevelEngineeringen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumDepartment of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI, 48109, USA.en_US
dc.contributor.affiliationotherDepartment of Computer Science and Information Engineering, National Taiwan University, Taipei, 106, Taiwan.en_US
dc.contributor.affiliationumcampusAnn Arboren_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/47957/1/10543_2004_Article_331278.pdfen_US
dc.identifier.doihttp://dx.doi.org/10.1023/A:1022323931043en_US
dc.identifier.sourceBit Numerical Mathematicsen_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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