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Arbitrary Rank Update to Cholesky Factorization

version 1.0.0.0 (1.33 KB) by Greg von Winckel
Solves the Cholesky factored system with arbitrary update.

2.3K Downloads

Updated 16 Aug 2005

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Solves Ax=b where A is given in terms of its Cholesky factors plus an arbitrary nonsymmetric, low rank update.

A=R'*R+U*V'

Where R is n by n and U and V are n by r.
Useful in solving finite and spectral element discretizations of boundary value problems.

Cite As

Greg von Winckel (2021). Arbitrary Rank Update to Cholesky Factorization (https://www.mathworks.com/matlabcentral/fileexchange/8294-arbitrary-rank-update-to-cholesky-factorization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
Platform Compatibility
Windows macOS Linux

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