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arXiv 1602.06602math.NAcs.NA
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高斯消元法修正交换错误

Gaussian elimination corrects pivoting mistakes

Massachusetts Institute of Technology(麻省理工学院)

Alex Townsend

AI总结:

高斯消元法通过修正早期的交换错误,保持了其在低秩近似中的鲁棒性,即使在浮点运算中也能保持稳定性。

摘要:

高斯消元法(GE)是求解线性方程组的典型直接算法,已有数千年应用历史。在最近十年,GE作为迭代算法用于低秩近似。在该设置中,GE常使用完全交换并设计为允许非最优交换,即交换错误,这些错误可能导致在浮点运算中数值不稳定。尽管交换错误可能积累并导致增长因子增大,我们证明后期的GE步骤能修正早期的交换错误,即使更多错误仍在发生。简而言之,GE对非最优交换非常稳健,使其迭代变体得以蓬勃发展。

英文摘要:

Gaussian elimination (GE) is the archetypal direct algorithm for solving linear systems of equations and this has been its primary application for thousands of years. In the last decade, GE has found another major use as an iterative algorithm for low rank approximation. In this setting, GE is often employed with complete pivoting and designed to allow for non-optimal pivoting, i.e., pivoting mistakes, that could render GE numerically unstable when implemented in floating point arithmetic. While it may appear that pivoting mistakes could accumulate and lead to a large growth factor, we show that later GE steps correct earlier pivoting mistakes, even while more are being made. In short, GE is very robust to non-optimal pivots, allowing for its iterative variant to flourish.

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