Incomplete Cholesky Factorizations with Limited Memory

We propose an incomplete Cholesky factorization for the solution of large-scale trust region subproblems and positive definite systems of linear equations. This factorization depends on a parameter p that specifies the amount of additional memory (in multiples of n, the dimension of the problem) that is available; there is no need to specify a drop tolerance. Our numerical results show that the number of conjugate gradient iterations and the computing time are reduced dramatically for small values of p. We also show that in contrast with drop tolerance strategies, the new approach is more stable in terms of number of iterations and memory requirements.

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