Past exam of the mathematics course of the University of Cambridge / 2001 / ib / Paper 2 / 14E / a / Solution

For a real symmetric positive-definite matrix, the Cholesky decomposition is $B=R^{T}R$, where $R$ is upper triangular with positive diagonal; equivalently $B=L{L}^T$ with $L=R^T$ lower triangular.

Existence can be proved by induction. Write $B=\left(\begin{array}{cc}b& v^T\\ v& C\end{array}\right)$, where $b>0$. For a nonzero vector $z$, evaluate the quadratic form at $(-v^{T}z/b,z{)}^T$ to obtain $z^T(C-v{v}^T/b)z>0$. The Schur complement is therefore positive definite. By induction it has factor $R_0^T{R}_0$, andhas $R^{T}R=B$. The one-dimensional starting case is the positive square root.

For uniqueness, if $R_1^T{R}_1=R_2^T{R}_2=B$, then $U=R_2{R}_1^{-1}$ is upper triangular and satisfies $U^{T}U=I$. Since $U^{-1}$ is upper triangular and equals $U^T$, which is lower triangular, $U$ is diagonal. Orthogonality makes its diagonal entries $\pm 1$, and positivity of the diagonals of $R_1,R_2$ forces $+1$. Hence $U=I$ and $\boxed{R_1=R_2}$.