Low rank update of block-LDLᵀ decomposition

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Low rank update of block-LDLᵀ decomposition

Postby pushpendre » Wed Dec 28, 2016 6:05 am


I was wondering if any stable algorithm for efficiently updating the block-LDLᵀ decomposition of symmetric indefinite matrices was already available in the LAPACK library? I know that the dsytf2* functions compute this decomposition but I was not able to find anything for updating the decomposition.

Professor Danny Sorensen's thesis UPDATING THE SYMMETRIC INDEFINITE FACTORIZATION WITH APPLICATIONS IN A MODIFIED NEWTON'S METHOD contains one such algorithm including fortran source code on page 140, but the thesis is available as OCR'd pdf therefore I thought of asking on the LAPACK forum before spending time manually typing something that might already exist.

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Re: Low rank update of block-LDLᵀ decomposition

Postby Julien Langou » Mon Jan 02, 2017 10:21 am

Julien Langou
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