Cholesky decomposition

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In linear algebra, the Cholesky decomposition or Cholesky triangle is a decomposition of a

symmetric, positive-definite matrix into the product of a lower triangular matrix and its
conjugate transpose. It was discovered by André-Louis Cholesky for real matrices and is an
example of a square root of a matrix. When it is applicable, the Cholesky decomposition is
roughly twice as efficient as the LU decomposition for solving systems of linear equations.[1]

Contents
[hide]

• 1 Statement
• 2 Applications
o 2.1 Linear least squares
o 2.2 Non-linear optimization
o 2.3 Monte Carlo simulation
o 2.4 Kalman filters
• 3 Computing the Cholesky decomposition
o 3.1 The Cholesky algorithm
o 3.2 The Cholesky–Banachiewicz and Cholesky–Crout algorithms
o 3.3 Stability of the computation
 3.3.1 Avoiding taking square roots
• 4 Proof for positive semi-definite matrices
• 5 Generalization
• 6 See also
• 7 Notes
• 8 References
• 9 External links
o 9.1 Information
o 9.2 Computer code
o 9.3 Use of the matrix in simulation

o 9.4 Online calculators

[edit] Statement
If A has real entries and is symmetric (or more generally, is Hermitian) and positive definite,
then A can be decomposed as
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 can be
assumed to have real entries as well.

[edit] Applications
The Cholesky decomposition is mainly used for the numerical solution of linear equations Ax =
b. If A is symmetric and positive definite, then we can solve Ax = b by first computing the
Cholesky decomposition A = LLT, then solving Ly = b for y, and finally solving LTx = y for x.

[edit] Linear least squares

Systems of the form Ax = b with A symmetric and positive definite arise quite often in
applications. For instance, the normal equations in linear least squares problems are of this form.
It may also happen that matrix A comes from an energy functional which must be positive from
physical considerations; this happens frequently in the numerical solution of partial differential
equations.

[edit] Non-linear optimization

Non-linear multi-variate functions may be minimized over their parameters using variants of
Newton's method called quasi-Newton methods. At each iteration, the search takes a step s
defined by solving Hs = -g for s, where s is the step, g is the gradient vector of the function's
partial first derivatives with respect to the parameters, and H is an approximation to the Hessian
matrix of partial second derivatives formed by repeated rank 1 updates at each iteration. Two
well-known update formulae are called Davidon-Fletcher-Powell (DFP) and Broydon-Fletcher-
Goldfarb-Shanno (BFGS). Loss of the positive-definite condition through round-off error is
avoided if rather than updating an approximation to the inverse of the Hessian, one updates the
Cholesky decomposition of an approximation of the Hessian matrix itself.

[edit] Monte Carlo simulation

The Cholesky decomposition is commonly used in the Monte Carlo method for simulating
systems with multiple correlated variables: The matrix of inter-variable correlations is
decomposed, to give the lower-triangular L. Applying this to a vector of uncorrelated samples, u,
produces a sample vector Lu with the covariance properties of the system being modeled.

[edit] Kalman filters

Unscented Kalman filters commonly use the Cholesky decomposition to choose a set of so-
called sigma points. The Kalman filter tracks the average state of a system as a vector x of length
N and covariance as an N-by-N matrix P. The matrix P is always positive semi-definite, and can
be decomposed into LLT. The columns of L can be added and subtracted from the mean x to
form a set of 2N vectors called sigma points. These sigma points completely capture the mean
and covariance of the system state.

[edit] Computing the Cholesky decomposition

There are various methods for calculating the Cholesky decomposition. The algorithms described
below all involve about n3/3 FLOPs, where n is the size of the matrix A. Hence, they are half the
cost of the LU decomposition, which uses 2n3/3 FLOPs (see Trefethen and Bau 1997).

Which of the algorithms below is faster depends on the details of the implementation. Generally,
the first algorithm will be slightly slower because it accesses the data in a more irregular manner.

[edit] The Cholesky algorithm

The Cholesky algorithm, used to calculate the decomposition matrix L, is a modified version of
Gaussian elimination.

The recursive algorithm starts with i := 1 and

At step i, the matrix A(i) has the following form:

where Ii−1 denotes the identity matrix of dimension i − 1.

If we now define the matrix Li by

then we can write A(i) as

where

Note that bi bi* is an outer product, therefore this algorithm is called the outer product version in
(Golub & Van Loan).

We repeat this for i from 1 to n. After n steps, we get A(n+1) = I. Hence, the lower triangular
matrix L we are looking for is calculated as

[edit] The Cholesky–Banachiewicz and Cholesky–Crout algorithms

If we write out the equation A = LL*,

we obtain the following formula for the entries of L:

The expression under the square root is always positive if A is real and positive-definite.

For complex Hermitian matrix, the following formula applies:

So we can compute the (i, j) entry if we know the entries to the left and above. The computation
is usually arranged in either of the following orders.

• The Cholesky–Banachiewicz algorithm starts from the upper left corner of the matrix L
and proceeds to calculate the matrix row by row.
• The Cholesky–Crout algorithm starts from the upper left corner of the matrix L and
proceeds to calculate the matrix column by column.

[edit] Stability of the computation

Suppose that we want to solve a well-conditioned system of linear equations. If the LU

decomposition is used, then the algorithm is unstable unless we use some sort of pivoting
strategy. In the latter case, the error depends on the so-called growth factor of the matrix, which
is usually (but not always) small.

Now, suppose that the Cholesky decomposition is applicable. As mentioned above, the algorithm
will be twice as fast. Furthermore, no pivoting is necessary and the error will always be small.
Specifically, if we want to solve Ax = b, and y denotes the computed solution, then y solves the
disturbed system (A + E)y = b where

Here, || ||2 is the matrix 2-norm, cn is a small constant depending on n, and ε denotes the unit
round-off.

There is one small problem with the Cholesky decomposition. Note that we must compute square
roots in order to find the Cholesky decomposition. If the matrix is real symmetric and positive
definite, then the numbers under the square roots are always positive in exact arithmetic.
Unfortunately, the numbers can become negative because of round-off errors, in which case the
algorithm cannot continue. However, this can only happen if the matrix is very ill-conditioned.

[edit] Avoiding taking square roots

An alternative form is the factorization[2]

This form eliminates the need to take square roots. When A is positive definite the elements of
the diagonal matrix D are all positive. However this factorization may be used for most invertible
symmetric matrices; an example of an invertible matrix whose decomposition is undefined is one
where the first entry is zero.

If A is real, the following recursive relations apply for the entries of D and L:

For complex Hermitian matrix A, the following formula applies:

The LDLT and LLT factorizations (note that L is different between the two) may be easily
related:

The last expression is the product of a lower triangular matrix and its transpose, as is the LLT
factorization.

[edit] Proof for positive semi-definite matrices

The above algorithms show that every positive definite matrix A has a Cholesky decomposition.
This result can be extended to the positive semi-definite case by a limiting argument. The
argument is not fully constructive, i.e., it gives no explicit numerical algorithms for computing
Cholesky factors.

If A is an n-by-n positive semi-definite matrix, then the sequence {Ak} = {A + (1/k)In} consists
of positive definite matrices. (This is an immediate consequence of, for example, the spectral
mapping theorem for the polynomial functional calculus.) Also,
in operator norm. From the positive definite case, each Ak has Cholesky decomposition Ak =
LkLk*. By property of the operator norm,

So {Lk} is a bounded set in the Banach space of operators, therefore relatively compact (because
the underlying vector space is finite dimensional). Consequently it has a convergent
subsequence, also denoted by {Lk}, with limit L. It can be easily checked that this L has the
desired properties, i.e. A = LL* and L is lower triangular with non-negative diagonal entries: for
all x and y,

Therefore A = LL*. Because the underlying vector space is finite dimensional, all topologies on
the space of operators are equivalent. So Lk tends to L in norm means Lk tends to L entrywise.
This in turn implies that, since each Lk is lower triangular with non-negative diagonal entries, L
is also.

[edit] Generalization
The Cholesky factorization can be generalized to (not necessarily finite) matrices with operator
entries. Let be a sequence of Hilbert spaces. Consider the operator matrix

acting on the direct sum

where each

is a bounded operator. If A is positive (semidefinite) in the sense that for all finite k and for any

we have , then there exists a lower triangular operator matrix L such that A =
LL*. One can also take the diagonal entries of L to be positive.