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Cholesky decomposition of a positive semidefinite matrix with known kernel
Authors:Zdeněk Dostál  Tomáš Kozubek
Institution:a Department of Applied Mathematics, FEECS VŠB-Technical University of Ostrava, Ostrava, Czech Republic
b Department of Mechanics, FME VŠB-Technical University of Ostrava, Ostrava, Czech Republic
Abstract:The Cholesky decomposition of a symmetric positive semidefinite matrix A is a useful tool for solving the related consistent system of linear equations or evaluating the action of a generalized inverse, especially when A is relatively large and sparse. To use the Cholesky decomposition effectively, it is necessary to identify reliably the positions of zero rows or columns of the factors and to choose these positions so that the nonsingular submatrix of A of the maximal rank is reasonably conditioned. The point of this note is to show how to exploit information about the kernel of A to accomplish both tasks. The results are illustrated by numerical experiments.
Keywords:Cholesky decomposition  Semidefinite matrix  Generalized inverse
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