Statement
If A has real entries and is symmetric (or more generally, has complex-valued entries and is Hermitian) and positive definite, then A can be decomposed as
- A = LL*,
where L is a lower triangular matrix with strictly positive diagonal entries, and L* denotes the conjugate transpose of L. This is the Cholesky decomposition.
The Cholesky decomposition is unique: given a Hermitian, positive-definite matrix A, there is only one lower triangular matrix L with strictly positive diagonal entries such that A = LL*. The converse holds trivially: if A can be written as LL* for some invertible L, lower triangular or otherwise, then A is Hermitian and positive definite.
The requirement that L have strictly positive diagonal entries can be dropped to extend the factorization to the positive-semidefinite case. The statement then reads: a square matrix A has a Cholesky decomposition if and only if A is Hermitian and positive semi-definite. Cholesky factorizations for positive-semidefinite matrices are not unique in general.
In the special case that A is a symmetric positive-definite matrix with real entries, L has real entries as well.
Read more about this topic: Cholesky Decomposition
Famous quotes containing the word statement:
“He has the common feeling of his profession. He enjoys a statement twice as much if it appears in fine print, and anything that turns up in a footnote ... takes on the character of divine revelation.”
—Margaret Halsey (b. 1910)
“Most personal correspondence of today consists of letters the first half of which are given over to an indexed statement of why the writer hasn’t written before, followed by one paragraph of small talk, with the remainder devoted to reasons why it is imperative that the letter be brought to a close.”
—Robert Benchley (1889–1945)
“Truth is that concordance of an abstract statement with the ideal limit towards which endless investigation would tend to bring scientific belief, which concordance the abstract statement may possess by virtue of the confession of its inaccuracy and one-sidedness, and this confession is an essential ingredient of truth.”
—Charles Sanders Peirce (1839–1914)