Cholesky decomposition Created 2026-09-28 Updated 2026-10-18
Every real symmetric matrix that is a positive-definite matrix has a unique Cholesky decomposition , where is a lower triangular matrix with positive diagonal entries.[ref]
DPOTRF (LAPACK 3.12.1) by LAPACK project. DPOTRF, LAPACK 3.12.1: Purpose, lower-triangular factorization; UPLO and INFO argument documentation
For a complex Hermitian positive-definite matrix, the corresponding factorization is , with the conjugate transpose and the diagonal of positive and real.[ref]ZPOTRF (LAPACK 3.12.1) by LAPACK project. ZPOTRF, LAPACK 3.12.1: Purpose, Hermitian factorization with conjugate transpose
The factorization turns a linear system into two triangular systems.For example, matching entries in givesChoose the positive square roots in order: , and . ThereforeThe second radicand, , is the scalar Schur complement remaining after eliminating the first variable. A positive diagonal of alone would not guarantee that this quantity is positive; Sylvester's criterion explains the relevant leading principal minors.
For that right-hand side, first use forward substitution to solve : and , so . Then use backward substitution in a triangular system to solve : and , giving . No matrix inverse is required. For several right-hand sides with the same , keep the same factor and repeat only these triangular solves.
Leading principal minor 2026-10-18
A leading principal minor is a principal minor using the first rows and columns of a square matrix in a specified ordering. Sylvester's criterion uses these minors to characterize positive-definite matrices.
Sylvester's criterion Created 2026-09-24 Updated 2026-10-18
A Hermitian matrix is a positive-definite matrix exactly when its leading principal minorsare all positive. The leading principal minor uses the first rows and the first columns in the same ordering. For the two-by-two Cholesky decomposition example, and , so the criterion proves positive definiteness without calculating eigenvalues.
The successive pivot elements before taking square roots are , with . Here they are and . In general, a leading triangular matrix factor has determinant equal to the product of its diagonal entries, soConversely, positive leading principal minors make each successive Schur complement pivot element positive, allowing the Cholesky decomposition to be constructed. The identity then proves positive definiteness; for complex matrices, replace the transposes by conjugate transposes. This gives a short inductive proof of the criterion.
For , the first minor is positive but . The second Cholesky radicand would be , and directly gives . Thus positive diagonal entries are insufficient. Replacing “positive” by “nonnegative” in just the leading-minor test is also insufficient for positive semidefiniteness: has leading minors , but its quadratic form is negative on .
