SPECIAL METHODS

THOMAS METHOD

  method emerges as a simplification of an LU factorization of a

This
tridiagonal matrix.  

We know that a positive definite matrix A has a unique symmetric

square root F such that :

Now if we do not insist on symmetry, there is a very large set of (non

symmetric) matrices G such that :

and which may also be regarded as "square roots" of A. The positive

definite matrix A is then said to be factored into the "square" of its
square root.
 THOMAS METHOD

One of these factorizations is of particular interest, both from

theoretical and practical standpoints: the Cholesky factorization
(or "Cholesky decomposition"), which is expressed as follows.

• Let A be a positive definite matrix.

Then there exists a unique lower

triangular matrix L with positive
diagonal elements such that : A = LL’
 CHOLESKY METHODS

If A is only positive semidefinite, the diagonal elements of

L can only be said to be non negative.

The Cholesky factorization can be symbolically

representedL by :
 11 L   11 L21  Ln2,1 Ln1,1 Ln,1 
L L22   L22  Ln 2, 2 Ln1,2 Ln, 2 
 21   
   

   

    

 Ln 2,1 Ln2, 2  Ln 2,n2   Ln2,n 2 Ln1,n2 Ln,n 2 
 Ln1,1 Ln1, 2  Ln1,n2 Ln1,n1   Ln 1,n 1 Ln,n1 
   
 Ln,1 Ln, 2  Ln ,n2 Ln,n1 Ln,n   Ln,n 

L LT
 a11 a12  a1,n2 a1,n1 a1,n 
a a22  a2 , n  2 a2,n1 a2,n 
 21
       
A 
an2,1 an 2, 2  an2,n2 an2,n 1

an  2 , n  A =LLT
 an1,1 an 1, 2  an 1,n 2 an1,n1 an1,n 
 
 an,1 an, 2  an , n  2 an,n 1 an,n 
 CHOLESKY METHODS

The Cholesky factorization is the prefered numerical

method for calculating :
 The inverse, and the determinant of a positive
definite matrix (in particular of a covariance matrix),
as well as for the simulation of a random 
multivariate normal variable.
 BIBLIOGRAPHY

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