On the Stability of Cholesky Factorization For Symmetric Quasidefinite Systems SIAM Journal on Matrix Analysis and Applications Volume 17, Number 1 pp. On the Stability of Cholesky Factorization For Symmetric Quasidefinite Systems Philip E. Gill, Michael A. Saunders, Joseph R. Shinnerl Abstract. Quasidefinite matrices have been used successfully by Vanderbei within barrier methods for linear and quadratic programming. A preliminary stability analysis is developed here. Using the Golub and Van Loan analysis of the latter, conditions are derived under which Cholesky factorization is stable for quasidefinite systems.
Some numerical results confirm the predictions.
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