Re: [eigen] Some background about LDLT

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2011/7/26 hauke strasdat <strasdat@xxxxxxxxx>:
> Hi,
>
> I am using the LDLT method
> (http://eigen.tuxfamily.org/dox/classEigen_1_1LDLT.html) on
> semi-definite matrices quite heavily and it is working well for me.
> However, I would like to learn some more about this very successful
> approach. I wonder, is there any good reference (preferably an
> academic paper) about it?

I don't think we followed any existing book, but this isn't new. LDLT
is described for example in this wiki page:
http://en.wikipedia.org/wiki/Cholesky_decomposition#Avoiding_taking_square_roots

Then we added partial pivoting on top of it, working exactly as in the
partial-pivoting LU decomposition.

I'm sure there's literature on "pivoting LDLT"; anything carrying that
name would probably be exactly the same thing that we do. A google
search found this:
http://icl.cs.utk.edu/news_pub/submissions/ldlt.pdf

>
> In particular, I would like to know:
>  - The LDLT method differs from standard Cholesky by two features:
>   * The diagonal D.
>   * The pivoting P'LDL'P.

That's correct.

>  Is it correct to say that D is added for speed and accuracy reasons
> (avoid square root),

Yes, see above wikipedia link.

> while the pivoting is added to stabilise accuracy
> for rank deficient matrices (with a minimal cost overhead)?

Yes, correct. I think one can even come up with examples of
well-conditioned invertible matrices that benefit from pivoting, but
yes for the most part it's about nearly singular matrices.

>  - Is it possible/practical to use LDLT without pivoting on
> rank-deficient semi-definite matrices?

Depends if you can live with the numerical stability issues. Table 1
in http://icl.cs.utk.edu/news_pub/submissions/ldlt.pdf shows
component-wise error on a variety of test matrices.

>  - What is the speed/accuracy table
> (http://eigen.tuxfamily.org/dox/TutorialLinearAlgebra.html) based on.

It's based on our understanding of these algorithms and our experience
with them.

Benoit


>
> Thanks a lot in advance,
> Hauke S.
>
>
>



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