Thin QR factorization from Cholesky decomposition
ID: thin-qr-factorization-from-cholesky-decomposition
If a real -by- matrix has full column rank, with , then is positive-definite. Its upper-triangular Cholesky decomposition , with positive diagonal, is unique. Defining gives and . Any other such factorization yields another Cholesky factor of , so its and then its must agree. This proves existence and uniqueness; it does not assert that forming is the most numerically stable algorithm.
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