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Concept
Cholesky decomposition
Summary
In linear algebra, the Cholesky decomposition or Cholesky factorization (pronounced ʃəˈlɛski ) is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful for efficient numerical solutions, e.g., Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices, and posthumously published in 1924.
When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.
The Cholesky decomposition of a Hermitian positive-definite matrix A, is a decomposition of the form
where L is a lower triangular matrix with real and positive diagonal entries, and L* denotes the conjugate transpose of L. Every Hermitian positive-definite matrix (and thus also every real-valued symmetric positive-definite matrix) has a unique Cholesky decomposition.
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.
When A is a real matrix (hence symmetric positive-definite), the factorization may be written
where L is a real lower triangular matrix with positive diagonal entries.
If a Hermitian matrix A is only positive semidefinite, instead of positive definite, then it still has a decomposition of the form A = LL* where the diagonal entries of L are allowed to be zero.
The decomposition need not be unique, for example:
However, if the rank of A is r, then there is a unique lower triangular L with exactly r positive diagonal elements and n−r columns containing all zeroes.
Alternatively, the decomposition can be made unique when a pivoting choice is fixed. Formally, if A is an n × n positive semidefinite matrix of rank r, then there is at least one permutation matrix P such that P A PT has a unique decomposition of the form P A PT = L L* with
where L1 is an r × r lower triangular matrix with positive diagonal.
Official source
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