Stability of the Diagonal Pivoting Method with Partial Pivoting

LAPACK and LINPACK both solve symmetric indefinite linear systems using the diagonal pivoting method with the partial pivoting strategy of Bunch and Kaufman (1977). No proof of the stability of this method has appeared in the literature. It is tempting to argue that the diagonal pivoting method is stable for a given pivoting strategy if the growth factor is small. We show that this argument is false in general, and give a sufficient condition for stability. This condition is not satisfied by the partial pivoting strategy, because the multipliers are unbounded. Nevertheless, using a more specific approach we are able to prove the stability of partial pivoting, thereby filling a gap in the body of theory supporting LAPACK and LINPACK. Key words. symmetric indefinite matrix, diagonal pivoting method, LDL T factorization, partial pivoting, growth factor, numerical stability, rounding error analysis, LAPACK, LINPACK. AMS subject classifications. primary 65F05, 65G05 1 Introduction LAPA..