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Improving the Stability of Triangular Decomposition of Ill-Conditioned Matrices

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Abstract

An approach to improving the stability of triangular decomposition of a dense positive definite matrix with a large condition number by using the Gauss and Cholesky methods is considered. It is proposed to introduce additions to standard computational schemes with an incomplete inner product of two vectors which is formed by truncating the lower digits of the sum of the products of two numbers. The truncation in the process of decomposition increases the diagonal elements of the triangular matrices by a random number and prevents the appearance of very small numbers during the Gauss decomposition and a negative radical expression in the Cholesky method. The number of additional operations required for obtaining an exact solution is estimated. The results of computational experiments are presented.

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Authors and Affiliations

  1. Southern Federal University, ul. Bolshaya Sadovaya 105/42, Rostov-on-Don, 344006, Russia

    V. N. Lutay

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  1. V. N. Lutay
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Correspondence to V. N. Lutay.

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Russian Text © The Author(s), 2019, published in Sibirskii Zhurnal Vychislitel’noi Matematiki, 2019, Vol. 22, No. 4, pp. 465–473.

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Lutay, V.N. Improving the Stability of Triangular Decomposition of Ill-Conditioned Matrices. Numer. Analys. Appl. 12, 388–394 (2019). https://doi.org/10.1134/S1995423919040062

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  • DOI: https://doi.org/10.1134/S1995423919040062

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