Cholesky factor 2026-10-31
For a real symmetric positive-definite matrix, the lower triangular matrix with positive diagonal in its Cholesky decomposition is its lower Cholesky factor; is the corresponding upper factor. If a full-column-rank matrix has a reduced QR decomposition with positive diagonal of , then , so is the upper Cholesky factor of .
Direct solution usually uses a pivoted LU decomposition : solve by forward substitution, then by back substitution. For a symmetric positive-definite matrix, the Cholesky decomposition is
with lower triangular and positive diagonal. It exploits symmetry, requiring about arithmetic operations rather than the leading for general elimination.
If has full column rank and its reduced QR decomposition is , , then
Choose the signs of so that has positive diagonal. Then is precisely the upper Cholesky factor of the normal-equation matrix , or is its lower factor. This identifies the factors; in computation, obtaining directly by QR decomposition avoids explicitly forming the normal equations, which square the condition number.