14/03/2018 Cholesky factorization - MATLAB chol

chol
Cholesky factorization

Syntax
R = chol(A)
L = chol(A,'lower')
R = chol(A,'upper')
[R,p] = chol(A)
[L,p] = chol(A,'lower')
[R,p] = chol(A,'upper')
[R,p,S] = chol(A)
[R,p,s] = chol(A,'vector')
[L,p,s] = chol(A,'lower','vector')
[R,p,s] = chol(A,'upper','vector')

Description
R = chol(A) produces an upper triangular matrix R from the diagonal and upper triangle of matrix A, satisfying the
equation R'*R=A. The chol function assumes that A is (complex Hermitian) symmetric. If it is not, chol uses the
(complex conjugate) transpose of the upper triangle as the lower triangle. Matrix A must be positive definite.

L = chol(A,'lower') produces a lower triangular matrix L from the diagonal and lower triangle of matrix A, satisfying
the equation L*L'=A. The chol function assumes that A is (complex Hermitian) symmetric. If it is not, chol uses the
(complex conjugate) transpose of the lower triangle as the upper triangle. When A is sparse, this syntax of chol is
typically faster. Matrix A must be positive definite. R = chol(A,'upper') is the same as R = chol(A).

[R,p] = chol(A) for positive definite A, produces an upper triangular matrix R from the diagonal and upper triangle of
matrix A, satisfying the equation R'*R=A and p is zero. If A is not positive definite, then p is a positive integer and
MATLAB® does not generate an error. When A is full, R is an upper triangular matrix of order q=p-1 such that
R'*R=A(1:q,1:q). When A is sparse, R is an upper triangular matrix of size q-by-n so that the L-shaped region of the
first q rows and first q columns of R'*R agree with those of A.

[L,p] = chol(A,'lower') for positive definite A, produces a lower triangular matrix L from the diagonal and lower
triangle of matrix A, satisfying the equation L*L'=A and p is zero. If A is not positive definite, then p is a positive integer
and MATLAB does not generate an error. When A is full, L is a lower triangular matrix of order q=p-1 such that
L*L'=A(1:q,1:q). When A is sparse, L is a lower triangular matrix of size q-by-n so that the L-shaped region of the
first q rows and first q columns of L*L' agree with those of A. [R,p] = chol(A,'upper') is the same as [R,p] =
chol(A).

The following three-output syntaxes require sparse input A.

[R,p,S] = chol(A), when A is sparse, returns a permutation matrix S. Note that the preordering S may differ from that
obtained from amd since chol will slightly change the ordering for increased performance. When p=0, R is an upper
triangular matrix such that R'*R=S'*A*S. When p is not zero, R is an upper triangular matrix of size q-by-n so that the
L-shaped region of the first q rows and first q columns of R'*R agree with those of S'*A*S. The factor of S'*A*S tends
to be sparser than the factor of A.

[R,p,s] = chol(A,'vector'), when A is sparse, returns the permutation information as a vector s such that
A(s,s)=R'*R, when p=0. You can use the 'matrix' option in place of 'vector' to obtain the default behavior.

[L,p,s] = chol(A,'lower','vector'), when A is sparse, uses only the diagonal and the lower triangle of A and
returns a lower triangular matrix L and a permutation vector s such that A(s,s)=L*L', when p=0. As above, you can
use the 'matrix' option in place of 'vector' to obtain a permutation matrix. [R,p,s] =
chol(A,'upper','vector') is the same as [R,p,s] = chol(A,'vector').

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14/03/2018 Cholesky factorization - MATLAB chol

 Note
Using chol is preferable to using eig for determining positive definiteness.

Examples

Example 1
The gallery function provides several symmetric, positive, definite matrices.

A=gallery('moler',5)

A =

1 -1 -1 -1 -1
-1 2 0 0 0
-1 0 3 1 1
-1 0 1 4 2
-1 0 1 2 5

C=chol(A)

ans =

1 -1 -1 -1 -1
0 1 -1 -1 -1
0 0 1 -1 -1
0 0 0 1 -1
0 0 0 0 1
isequal(C'*C,A)

ans =

For sparse input matrices, chol returns the Cholesky factor.

N = 100;
A = gallery('poisson', N);

N represents the number of grid points in one direction of a square N-by-N grid. Therefore, A is N
2
by N
2
.

L = chol(A, 'lower');
D = norm(A - L*L', 'fro');

The value of D will vary somewhat among different versions of MATLAB but will be on order of 10
−14
.

Example 2
The binomial coefficients arranged in a symmetric array create a positive definite matrix.

n = 5;
X = pascal(n)
X =
1 1 1 1 1
1 2 3 4 5
1 3 6 10 15
1 4 10 20 35
1 5 15 35 70

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14/03/2018 Cholesky factorization - MATLAB chol

This matrix is interesting because its Cholesky factor consists of the same coefficients, arranged in an upper triangular
matrix.

R = chol(X)
R =
1 1 1 1 1
0 1 2 3 4
0 0 1 3 6
0 0 0 1 4
0 0 0 0 1

Destroy the positive definiteness (and actually make the matrix singular) by subtracting 1 from the last element.

X(n,n) = X(n,n)-1

X =
1 1 1 1 1
1 2 3 4 5
1 3 6 10 15
1 4 10 20 35
1 5 15 35 69

Now an attempt to find the Cholesky factorization of X fails.

chol(X)
Error using chol
Matrix must be positive definite.

Extended Capabilities

C/C++ Code Generation

See Also
cholupdate | ichol

Introduced before R2006a

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