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[Help-gsl] Recovering from failed Cholesky decomp.

From: Daniel Neilson
Subject: [Help-gsl] Recovering from failed Cholesky decomp.
Date: Wed, 24 Mar 2010 12:38:53 -0600
User-agent: Mozilla/5.0 (X11; U; Linux i686; en-US; rv: Gecko/20100227 Thunderbird/3.0.3

Good afternoon,
I have an application in which I'm using gsl_linalg_cholesky_decomp() to decompose a symmetric positive-definite matrix, A. However, the decomp fails in a very small percentage of the matrices that I feed to this function due to round-off error and all of that fun stuff.

Does anyone happen to know of a good method that will still give me the L L^T decomposition for A when one of these errors is detected? For example, is there a method whereby I can add a small-magnitude diagonal matrix to A, Cholesky decomp that, and modify the result to obtain the decomp as though I'd done it with A instead of the modified A?


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