EECS Publication
LAPACK-Style Codes for Level 2 and 3 Pivoted Cholesky Factorizations
Craig Lucas
Fortran 77 codes exist in LAPACK for computing the Cholesky factorization of a symmetric positive definite matrix using Level 2 and 3 BLAS.In LINPACK there is a Level 1 BLAS routine for computing the Cholesky factorization with complete pivoting of a symmetric positive semi-definite matrix. We present two new algorithms and Fortran 77 LAPACK-style codes for computing this pivoted factorization: one using Level 2 BLAS and one using Level 3 BLAS. We show that on modern machines the new codes can be many times faster than the LINPACK code. Also, with a new stopping criterion they provide more reliable rank detection and can have a smaller normwise backward error.
Published 2004-02-01 05:00:00 as ut-cs-04-522 (ID:183)