Search Results - subject:"Cholesky factorization"

Gaussian elimination as a computational paradigm

LOUTE, Etienne - Center for Operations Research and Econometrics (CORE), … - 2003

espectively blocked Cholesky factorization and blocked gaussian elimination. Contributions are: demonstration of the paradigm … use of the graph concepts and finally an effective parallelization tool for blocked Cholesky factorization of matrices …

Persistent link: https://www.econbiz.de/10005008416

Simulation of Pickands constants

Burnecki, Krzysztof; Michna, Zbigniew - Hugo Steinhaus Center for Stochastic Methods, … - 2002

Pickands constants appear in the asymptotic formulas for extremes of Gaussian processes. The explicit formula of Pickands constants does not exist. Moreover, in the literature there is no numerical approximation. In this paper we compute numerically Pickands constants by the use of change of...

Persistent link: https://www.econbiz.de/10009003623

A Parallel Block Cholesky Factorization for Staircase Linear Programming Problems

LOUTE, Etienne; VIAL, Jean-Philippe - Center for Operations Research and Econometrics (CORE), … - 1992

We present a variant of the Cholesky factorization for block tridiagonal positive definite matrices. We show that a …

Persistent link: https://www.econbiz.de/10005042961