An Incomplete Cholesky Factorization for Dense Symmetric Positive Definite Matrices
Resource
BIT Numerical Mathematics 40 (3): 536-558
Journal
BIT Numerical Mathematics
Journal Volume
40
Journal Issue
3
Pages
536-558
Date Issued
2000
Date
2000
Author(s)
Saigal, Romesh
Abstract
In 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.
Type
journal article
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