Rigorous Perturbation Bounds of Some Matrix Factorizations

This article presents rigorous normwise perturbation bounds for the Cholesky, LU and QR factorizations with normwise or componentwise perturbations in the given matrix. The considered componentwise perturbations have the form of backward rounding errors for the standard factorization algorithms. The used approach is a combination of the classic and refined matrix equation approaches. Each of the new rigorous perturbation bounds is a small constant multiple of the corresponding first-order perturbation bound obtained by the refined matrix equation approach in the literature and can be estimated efficiently. These new bounds can be much tighter than the existing rigorous bounds obtained by the classic matrix equation approach, while the conditions for the former to hold are almost as moderate as the conditions for the latter to hold. AMS subject classifications. 15A23, 65F35 Key words. Perturbation analysis, normwise perturbation, componentwise perturbation, Cholesky factorization, LU fa...

• Type: Journal
• Year: 2010
• Where: SIAMMAX
• Authors: Xiao-Wen Chang, Damien Stehlé
• Keywords: Componentwise Perturbation, Matrix Equation, Matrix Equation Approach, SIAMMAX 2010