Volume 13, Issue 1
QR Versus Cholesky: A Probabilistic Analysis

M. Lira ,  R. Iyer ,  A. A. Trindade and V. Howle

Int. J. Numer. Anal. Mod., 13 (2016), pp. 114-121

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  • Abstract

Least squares solutions of linear equations Ax = b are very important for parameter estimation in engineering, applied mathematics, and statistics. There are several methods for their solution including QR decomposition, Cholesky decomposition, singular value decomposition (SVD), and Krylov subspace methods. The latter methods were developed for sparse A matrices that appear in the solution of partial differential equations. The QR (and its variant the RRQR) and the SVD methods are commonly used for dense A matrices that appear in engineering and statistics. Although the Cholesky decomposition is backward stable and known to have the least operational count, several authors recommend the use of QR in applications. In this article, we take a fresh look at least squares problems for dense A matrices with full column rank using numerical experiments guided by recent results from the theory of random matrices. Contrary to currently accepted belief, comparisons of the sensitivity of the Cholesky and QR solutions to random parameter perturbations for various low to moderate condition numbers show no significant difference to within machine precision. Experiments for matrices with artificially high condition numbers reveal that the relative difference in the two solutions is on average only of the order of 10^{-6}. Finally, Cholesky is found to be markedly computationally faster than QR -- the mean computational time for QR is between two and four times greater than Cholesky, and the standard deviation in computation times using Cholesky is about a third of that of QR. Our conclusion in this article is that for systems with Ax = b where A has full column rank, if the condition numbers are low or moderate, then the normal equation method with Cholesky decomposition is preferable to QR.

  • History

Published online: 2016-01

  • AMS Subject Headings

65F99

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