Fast linear algebra is stable
Numerical Analysis
2011-11-09 v3 Computational Complexity
Data Structures and Algorithms
Abstract
In an earlier paper, we showed that a large class of fast recursive matrix multiplication algorithms is stable in a normwise sense, and that in fact if multiplication of -by- matrices can be done by any algorithm in operations for any , then it can be done stably in operations for any . Here we extend this result to show that essentially all standard linear algebra operations, including LU decomposition, QR decomposition, linear equation solving, matrix inversion, solving least squares problems, (generalized) eigenvalue problems and the singular value decomposition can also be done stably (in a normwise sense) in operations.
Cite
@article{arxiv.math/0612264,
title = {Fast linear algebra is stable},
author = {James Demmel and Ioana Dumitriu and Olga Holtz},
journal= {arXiv preprint arXiv:math/0612264},
year = {2011}
}
Comments
26 pages; final version; to appear in Numerische Mathematik