Stable algorithm for updating dense LU factorization after row or column exchange and row and column addition or deletion

¹Supported by the Polish Academy of Sciences

Abstract

An algorithm for updating the LU factors of a dense square matrix is presented. The method allows a fast and stable maintaining triangular factors L and U for any of the following matrix modifications: row and column addition, column exchange, row exchange and row and column deletion. The method is particularly suitable for updating SCHUR complements of LP bases. Numerical results confirmed its accuracy

Keywords:

• Dense LU Factorization
• Updating SCHUR Complements

¹Supported by the Polish Academy of Sciences

¹Supported by the Polish Academy of Sciences

Notes

¹Supported by the Polish Academy of Sciences