Cholesky decomposition.
Return the Cholesky decomposition, L * L.H, of the square matrix a,
where L is lower-triangular and .H is the conjugate transpose operator
(which is the ordinary transpose if a is real-valued). a must be
Hermitian (symmetric if real-valued) and positive-definite. Only L is
actually returned.
| Parameters : | a : array_like, shape (M, M)
Hermitian (symmetric if all elements are real), positive-definite
input matrix.
|
|---|
| Returns : | L : ndarray, or matrix object if a is, shape (M, M)
Lower-triangular Cholesky factor of a.
|
|---|
| Raises : | LinAlgError :
If the decomposition fails, for example, if a is not
positive-definite.
|
|---|
Notes
The Cholesky decomposition is often used as a fast way of solving
System Message: WARNING/2 (A \mathbf{x} = \mathbf{b}
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rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
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rathi, oriya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian,
kurmanji, lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nyn
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(when A is both Hermitian/symmetric and positive-definite).
First, we solve for
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restricted \write18 enabled.
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LaTeX2e <2011/06/27>
Babel <v3.8m> and hyphenation patterns for english, dumylang, nohyphenation, ge
rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
h, dutch, ukenglish, usenglishmax, esperanto, estonian, ethiopic, farsi, finnis
h, french, friulan, galician, german, ngerman, swissgerman, monogreek, greek, h
ungarian, icelandic, assamese, bengali, gujarati, hindi, kannada, malayalam, ma
rathi, oriya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian,
kurmanji, lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nyn
orsk, polish, portuguese, romanian, romansh, russian, sanskrit, serbian, serbia
nc, slovak, slovenian, spanish, swedish, turkish, turkmen, ukrainian, uppersorb
ian, welsh, loaded.
(/usr/share/texmf/tex/latex/base/article.cls
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in
System Message: WARNING/2 (L \mathbf{y} = \mathbf{b},
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This is pdfTeX, Version 3.1415926-2.4-1.40.13 (TeX Live 2012/TeX Live for SUSE Linux)
restricted \write18 enabled.
entering extended mode
(./math.tex
LaTeX2e <2011/06/27>
Babel <v3.8m> and hyphenation patterns for english, dumylang, nohyphenation, ge
rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
h, dutch, ukenglish, usenglishmax, esperanto, estonian, ethiopic, farsi, finnis
h, french, friulan, galician, german, ngerman, swissgerman, monogreek, greek, h
ungarian, icelandic, assamese, bengali, gujarati, hindi, kannada, malayalam, ma
rathi, oriya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian,
kurmanji, lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nyn
orsk, polish, portuguese, romanian, romansh, russian, sanskrit, serbian, serbia
nc, slovak, slovenian, spanish, swedish, turkish, turkmen, ukrainian, uppersorb
ian, welsh, loaded.
(/usr/share/texmf/tex/latex/base/article.cls
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and then for
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restricted \write18 enabled.
entering extended mode
(./math.tex
LaTeX2e <2011/06/27>
Babel <v3.8m> and hyphenation patterns for english, dumylang, nohyphenation, ge
rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
h, dutch, ukenglish, usenglishmax, esperanto, estonian, ethiopic, farsi, finnis
h, french, friulan, galician, german, ngerman, swissgerman, monogreek, greek, h
ungarian, icelandic, assamese, bengali, gujarati, hindi, kannada, malayalam, ma
rathi, oriya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian,
kurmanji, lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nyn
orsk, polish, portuguese, romanian, romansh, russian, sanskrit, serbian, serbia
nc, slovak, slovenian, spanish, swedish, turkish, turkmen, ukrainian, uppersorb
ian, welsh, loaded.
(/usr/share/texmf/tex/latex/base/article.cls
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System Message: WARNING/2 (L.H \mathbf{x} = \mathbf{y}.
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This is pdfTeX, Version 3.1415926-2.4-1.40.13 (TeX Live 2012/TeX Live for SUSE Linux)
restricted \write18 enabled.
entering extended mode
(./math.tex
LaTeX2e <2011/06/27>
Babel <v3.8m> and hyphenation patterns for english, dumylang, nohyphenation, ge
rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
h, dutch, ukenglish, usenglishmax, esperanto, estonian, ethiopic, farsi, finnis
h, french, friulan, galician, german, ngerman, swissgerman, monogreek, greek, h
ungarian, icelandic, assamese, bengali, gujarati, hindi, kannada, malayalam, ma
rathi, oriya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian,
kurmanji, lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nyn
orsk, polish, portuguese, romanian, romansh, russian, sanskrit, serbian, serbia
nc, slovak, slovenian, spanish, swedish, turkish, turkmen, ukrainian, uppersorb
ian, welsh, loaded.
(/usr/share/texmf/tex/latex/base/article.cls
Document Class: article 2007/10/19 v1.4h Standard LaTeX document class
(/usr/share/texmf/tex/latex/base/size12.clo))
(/usr/share/texmf/tex/latex/base/inputenc.sty
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Examples
>>> A = np.array([[1,-2j],[2j,5]])
>>> A
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> L = np.linalg.cholesky(A)
>>> L
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> np.dot(L, L.T.conj()) # verify that L * L.H = A
array([[ 1.+0.j, 0.-2.j],
[ 0.+2.j, 5.+0.j]])
>>> A = [[1,-2j],[2j,5]] # what happens if A is only array_like?
>>> np.linalg.cholesky(A) # an ndarray object is returned
array([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
>>> # But a matrix object is returned if A is a matrix object
>>> LA.cholesky(np.matrix(A))
matrix([[ 1.+0.j, 0.+0.j],
[ 0.+2.j, 1.+0.j]])
