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Solution
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Solution provided by AtoZmath.com
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Cholesky Decomposition calculator
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1. `[[6,15,55],[15,55,225],[55,225,979]]` 2. `[[25,15,-5],[15,18,0],[-5,0,11]]` 3. `[[18,22,54,42],[22,70,86,62],[54,86,174,134],[42,62,134,106]]` 4. `[[8,-6,2],[-6,7,-4],[2,-4,3]]`
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Example1. Find Cholesky Decomposition ... `[[6,15,55],[15,55,225],[55,225,979]]`Solution:Formula `l_(ki)=(a_(ki) - sum_{j=1}^{i-1} l_(ij) * l_(kj))/(l_(ii))` `l_(kk)=sqrt(a_(kk)-sum_{j=1}^{k-1} l_(kj)^2)` Cholesky decomposition : `A=L*L^T`, Every symmetric positive definite matrix A can be decomposed into a product of a unique lower triangular matrix L and its transpose. `l_(11)=sqrt(a_(11))=sqrt(6)=2.4495` `l_(21)=(a_(21))/l_(11)=(15)/(2.4495)=6.1237` `l_(22)=sqrt(a_(22)-l_(21)^2)=sqrt(55-(6.1237)^2)=sqrt(55-37.5)=4.1833` `l_(31)=(a_(31))/l_(11)=(55)/(2.4495)=22.4537` `l_(32)=(a_(32)-l_(31) xx l_(21))/l_(22)=(225-(22.4537)xx(6.1237))/(4.1833)=(225-137.5)/(4.1833)=20.9165` `l_(33)=sqrt(a_(33)-l_(31)^2-l_(32)^2)=sqrt(979-(22.4537)^2-(20.9165)^2)=sqrt(979-941.6667)=6.1101` So `L` | = | | `l_(11)` | `0` | `0` | | | `l_(21)` | `l_(22)` | `0` | | | `l_(31)` | `l_(32)` | `l_(33)` | |
| = | | 2.4495 | 0 | 0 | | | 6.1237 | 4.1833 | 0 | | | 22.4537 | 20.9165 | 6.1101 | |
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`L xx L^T` | = | | 2.4495 | 0 | 0 | | | 6.1237 | 4.1833 | 0 | | | 22.4537 | 20.9165 | 6.1101 | |
| `xx` | | 2.4495 | 6.1237 | 22.4537 | | | 0 | 4.1833 | 20.9165 | | | 0 | 0 | 6.1101 | |
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