Fast Moving Window Algorithm for QR and Cholesky Decompositions

W. Liang, U. Kruger, X. Wang, L. Xie, Timothy Littler

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

This paper proposes a fast moving window algorithm for QR and Cholesky decompositions by simultaneously applying data updating and downdating. The developed procedure is based on inner products and entails a similar downdating to that of the Chambers’ approach. For adding and deleting one row of data from the original matrix, a detailed analysis shows that the proposed algorithm outperforms existing ones in terms or computational efficiency, if the number of columns exceeds 7. For a large number of columns, the proposed algorithm is numerically superior compared to the traditional sequential technique.
Original languageEnglish
Title of host publicationProceedings of the 17th IFAC World Congress (IFAC '06)
Pages10106-10111
Number of pages6
DOIs
Publication statusPublished - Jul 2008
Event17th IFAC World Congress - COEX, Korea, Republic of
Duration: 01 Jul 200801 Jul 2008

Conference

Conference17th IFAC World Congress
CountryKorea, Republic of
CityCOEX
Period01/07/200801/07/2008

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  • Cite this

    Liang, W., Kruger, U., Wang, X., Xie, L., & Littler, T. (2008). Fast Moving Window Algorithm for QR and Cholesky Decompositions. In Proceedings of the 17th IFAC World Congress (IFAC '06) (pp. 10106-10111) https://doi.org/10.3182/20080706-5-KR-1001.01710