Incomplete Cholesky factorization

In numerical analysis, an incomplete Cholesky factorization of a symmetric positive definite matrix is a sparse approximation of the Cholesky factorization. An incomplete Cholesky factorization is often used as a preconditioner for algorithms like the conjugate gradient method. In numerical analysis, an incomplete Cholesky factorization of a symmetric positive definite matrix is a sparse approximation of the Cholesky factorization. An incomplete Cholesky factorization is often used as a preconditioner for algorithms like the conjugate gradient method. The Cholesky factorization of a positive definite matrix A is A = LL* where L is a lower triangular matrix. An incomplete Cholesky factorization is given by a sparse lower triangular matrix K that is in some sense close to L. The corresponding preconditioner is KK*. One popular way to find such a matrix K is to use the algorithm for finding the exact Cholesky decomposition, except that any entry is set to zero if the corresponding entry in A is also zero. This gives an incomplete Cholesky factorization which is as sparse as the matrix A. For i {displaystyle i} from 1 {displaystyle 1} to N {displaystyle N} :