Defintion Cholesky Factorization Example

Kapita Selekta Stokastik, Optimasi, dan Resiko:

Cholesky Factorization

Sena Safarina

Department of Mathematics
Sepuluh Nopember Institute of Technology

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Defintion Cholesky Factorization Example

Outline

1 Definition

2 Cholesky Factorization

3 Example

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Defintion Cholesky Factorization Example

Cholesky Factorization

Definition
If A ∈ Rn×n is symmetric and positive definite, then it can be factorized
as
A = LLT
where L is lower triangular and non-singular with positive definite diagonal
elements. This is called the Cholesky factorization of A, and can be
interpreted as a symmetric LU factorization (with L = U T ).

The matrix L, which is uniquely determined by A, is called the Cholesky

factor of A.

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Defintion Cholesky Factorization Example

Other Definitions

Symmetric Matrix
A symmetric matrix is a square matrix that satisfies

AT = A

where AT denotes the transpose, so aij = aji .

Positive Definite Matrix

A positive definite matrix is a symmetric matrix where every eigen-
value is positive; or Is the matrix that satisfies x T Ax for non-zero
x . Below is an example:
!
1 0
I=
0 1

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Defintion Cholesky Factorization Example

How to Factorize?

For A, L ∈ Rn×n , we have

A = LLT
where
   
a11 a21 a31 ... an1 l11 0 0 ... 0
a21 a22 a32 ... an2  l21 l22 0 ... 0 
   
A = a31 a32 a33 ... an2  and L = l31 l32 l33 ... 0 .
  
 .. .. .. ..   .. .. .. .. 
 . . . . . . . . . . . . . .
an1 an2 an3 ... ann ln1 ln2 ln3 ... lnn

So that v
i−1
X
u
u k−1
X
lki = aki − lij lkj and lkk = tqkk − lkj2
j=1 j=1
.

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Defintion Cholesky Factorization Example

Example

 
2 0 7 4
1 0 1
!
0 1 −2 2
A= 0 2 0 ;B = 
7 −2 5 1
1 0 3
4 3 1 3
 
  1 1 1 1 1
1 1 1 1
1 2 3 4 5
1 2 3 4
C = ; D = 1 3 6 10 15
 
1 3 6 10 1 4 10 20 35
1 4 10 20
1 5 15 35 69

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