On the Incomplete Cholesky Decomposition of a Class of Perturbed Matrices

  • Authors:
  • Gérard Meurant

  • Affiliations:
  • -

  • Venue:
  • SIAM Journal on Scientific Computing
  • Year:
  • 2001

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Abstract

We consider how to cheaply compute an incomplete Cholesky decomposition of symmetric perturbed matrices $C=\epsilon I +A$ with a small $\epsilon$ when knowing an incomplete decomposition of $A$. Numerical examples are provided that show the effectiveness of the proposed approach.