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12. Cholesky Decomposition example ( Enter your problem )
  1. Example `[[6,15,55],[15,55,225],[55,225,979]]`
  2. Example `[[6,-2,2],[-2,3,-1],[2,-1,3]]`
  3. Example `[[25,15,-5],[15,18,0],[-5,0,11]]`
  4. Example `[[8,-6,2],[-6,7,-4],[2,-4,3]]`

1. Example `[[6,15,55],[15,55,225],[55,225,979]]`





1. Find Cholesky Decomposition ...
`[[6,15,55],[15,55,225],[55,225,979]]`


Solution:
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.


Here matrix is symmetric positive definite, so Cholesky decomposition is possible.

`A` = 
`6``15``55`
`15``55``225`
`55``225``979`


A matrix is positive definite if Determinants of all upper-left sub-matrices are positive.

Test method 2: Determinants of all upper-left sub-matrices are positive.
`A` = 
`6``15``55`
`15``55``225`
`55``225``979`


 `6` 
`=6`


 `6`  `15` 
 `15`  `55` 
`=105`


 `6`  `15`  `55` 
 `15`  `55`  `225` 
 `55`  `225`  `979` 
`=3920`


Determinants are `6,105,3920`

Here all determinants are positive, so matrix is positive semi-definite.




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)`

Here `A` = 
61555
1555225
55225979


`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)`
 = 
2.449500
6.12374.18330
22.453720.91656.1101


`L xx L^T` = 
2.449500
6.12374.18330
22.453720.91656.1101
 `xx` 
2.44956.123722.4537
04.183320.9165
006.1101
 = 
61555
1555225
55225979


and `A` = 
61555
1555225
55225979


Solution is possible.




This material is intended as a summary. Use your textbook for detail explanation.
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