Stability Analysis of QR factorization in an Oblique Inner Product

In this paper we consider the stability of the QR factorization in an oblique inner product. The oblique inner product is defined by a symmetric positive definite matrix A. We analyze two algorithm that are based a factorization of A and converting the problem to the Euclidean case. The two algorith...

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Bibliographic Details
Published inarXiv.org
Main Authors Lowery, Bradley R, Langou, Julien
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 21.01.2014
Subjects
Algorithms
Decomposition
Eigenvalues
Factorization
Mathematical analysis
Matrix methods
Stability analysis
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Summary:In this paper we consider the stability of the QR factorization in an oblique inner product. The oblique inner product is defined by a symmetric positive definite matrix A. We analyze two algorithm that are based a factorization of A and converting the problem to the Euclidean case. The two algorithms we consider use the Cholesky decomposition and the eigenvalue decomposition. We also analyze algorithms that are based on computing the Cholesky factor of the normal equa- tion. We present numerical experiments to show the error bounds are tight. Finally we present performance results for these algorithms as well as Gram-Schmidt methods on parallel architecture. The performance experiments demonstrate the benefit of the communication avoiding algorithms.
ISSN:2331-8422