TheoremBase

Cholesky Factorisation of a Symmetric Positive Definite Real Matrix

Statement

Let nn be a natural number with 1≤n1\le n, let R\mathbb{R} be the real numbers with the order ≤\le of its ordered field structure, let [n][n] be the initial segment determined by nn, and let GG be a symmetric positive definite real n×nn\times n matrix. Write PQPQ for the matrix product and P⊤P^{\top} for the transpose. Call a real n×nn\times n matrix LL lower triangular if Lil=0L_{il}=0 whenever i,l∈[n]i,l\in[n] and i<li<l.

Then there exists a lower triangular real n×nn\times n matrix LL with 0<Lii0<L_{ii} for every i∈[n]i\in[n] such that

G=L L⊤.G=L\,L^{\top}.

Proofs

Log in to submit a proof.

Loading...

Citations

Loading…

Dependencies

Loading…

Related

0 relations

Curated associations between results. These are editable and subjective — they do not replace the dependency graph, which is derived from the references in the text.

No relations recorded yet.

Comments

Log in to comment.

Loading…