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Convex Optimization by Lieven Vandenberghe, Stephen Boyd

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Appendix C

Numerical linear algebra background

In this appendix we give a brief overview of some basic numerical linear algebra, concentrating on methods for solving one or more sets of linear equations. We focus on direct (i.e., noniterative) methods, and how problem structure can be exploited to improve efficiency. There are many important issues and methods in numerical linear algebra that we do not consider here, including numerical stability, details of matrix factorizations, methods for parallel or multiple processors, and iterative methods. For these (and other) topics, we refer the reader to the references given at the end of this appendix.

C.1  Matrix structure and algorithm complexity

We concentrate on methods for solving the set ...

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