Harvard AM205 video 2.5 - LU pivoting and Cholesky factorization
Channel: Chris Rycroft
Date: 2020-10-05

Harvard Applied Math 205 is a graduate-level course on scientific computing and numerical methods. The previous video in this series introduced the LU factorization, but the basic algorithm that was presented can fail for certain well-behaved matrices. This video shows why, and the LU factorization can be extended using a technique called pivoting to apply to all matrices. The video also introduces the Cholesky factorization, a specialization the LU factorization for symmetric positive definite matrices.

For more information see the main course website at http://courses.seas.harvard.edu/courses/am205/