Cholesky Factorisation of a Symmetric Positive Definite Real Matrix
lemmaLinear Algebralem:cholesky-positive-definite-2026aLet be a natural number with , let be the real numbers with the order of its ordered field structure, let be the initial segment determined by , and let be a symmetric positive definite real matrix. Write for the matrix product and for the transpose. Call a real matrix lower triangular if whenever and .
Then there exists a lower triangular real matrix with for every such that
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