language: en

University of Maryland College Park Institute for Advanced Computer Studies
TR-95-93
Department of Computer Science
TR-3535

On the Perturbation of LU and Cholesky Factors

G. W. Stewart
October, 1995

ABSTRACT In a recent paper, Chang and Paige have shown that the usual perturbation bounds for Cholesky factors can systematically overestimate the errors. In this note we sharpen their results and extend them to the factors of the LU decomposition. The results are based on a new formula for the first order terms of the error in the factors.

[This report is available by anonymous ftp from thales.cs.umd.edu in the directory pub/reports.]

Department of Computer Science and Institute for Advanced Computer Studies, University of Maryland,
College Park, MD 20742.

[This work was supported in part by the National Science Foundation under grant CCR 95503126.]