Mittagsseminar (in cooperation with J. Lengler, A. Steger, and D. Steurer)

Date and Time: Tuesday, March 20, 2012, 12:15 pm

Duration: 30 minutes

Location: OAT S15/S16/S17

Speaker: Yves Brise

Low Rank Updating of Matrix Factorizations

In the context of many applications the need to update the inverse of a matrix over the course of several iterations arises. That is, in one iteration we need to solve a linear equation system with matrix A. In the next iteration we need to do it again with a different matrix A'. However, the matrix A' doesn't differ from A a lot. It could be that only one element or one column of A changes. Instead of having to recompute the inverse (or its relatives like the LU factorization) from scratch, there exist update procedures which use considerably less computations. In particular, if the rank of the update matrix is low, we are in a good position. I will talk a little bit about the history of this field of research and then go into more detail about the experimental QP solver of CGAL where we are currently implementing an updated LU factorization. The non-historical part of the talk is joint work with Bernd Gärtner.

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