On the Stability of the Generalized Schur Algorithm

Authors:
Nicola Mastronardi;Paul Van Dooren;Sabine Van Huffel
Affiliations:
-;-;-
Venue:
NAA '00 Revised Papers from the Second International Conference on Numerical Analysis and Its Applications
Year:
2000

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Abstract

The generalized Schur algorithm (GSA) is a fast method to compute the Cholesky factorization of a wide variety of structured matrices. The stability property of the GSA depends on the way it is implemented. In [15] GSA was shown to be as stable as the Schur algorithm, provided one hyperbolic rotation in factored form [3] is performed at each iteration. Fast and efficient algorithms for solving Structured Total Least Squares problems [14,15] are based on a particular implementation of GSA requiring two hyperbolic transformations at each iteration. In this paper the authors prove the stability property of such implementation provided the hyperbolic transformations are performed in factored form [3].