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Maths

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banavathragavi
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2 views9 pages

Maths

Uploaded by

banavathragavi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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Cholesky decomposition

Presented by
B.Ragavi (23B81A0597)
N.Rashmika (23B81A0598)
Introduction to
Cholesky
Decomposition
Cholesky decomposition is a powerful linear algebra technique used to
factorize symmetric positive-definite matrices into the product of a lower
triangular matrix and its transpose. This method is efficient, numerically
stable, and has numerous applications in fields such as numerical analysis,
optimization, and signal processing.
Definition and Properties
1 Definition 2 Properties 3 Uniqueness
Cholesky The resulting matrices For a given positive-
decomposition have several desirable definite matrix, the
expresses a symmetric properties, including Cholesky
positive-definite faster matrix inversion decomposition is
matrix as the product and solving linear unique.
of a lower triangular systems.
matrix and its
transpose.
Applications of Cholesky
Decomposition
Numerical Analysis Optimization
Solving linear systems, computing matrix Solving least-squares problems and finding
inverses, and evaluating determinants. the global minimum of quadratic functions.

Signal Processing Statistics


Whitening data, decorrelating signals, and Principal component analysis, multivariate
designing digital filters. normal distribution, and Kalman filtering.
Numerical Stability and
Accuracy
Stability
Cholesky decomposition is generally a numerically stable algorithm, as long as the
input matrix is well-conditioned.

Accuracy
The computed factors L and L^T are accurate representations of the original matrix,
with small errors due to finite-precision arithmetic.

Roundoff Errors
Roundoff errors can accumulate, especially for large matrices, but the method
remains stable and accurate in most practical situations.
Advantages and Limitations
Advantages Limitations

- Efficient and numerically stable algorithm - - Requires the input matrix to be symmetric
Exploits the structure of positive definite positive definite - Not applicable to general
matrices - Enables faster matrix inversion matrices - Susceptible to roundoff errors for
and linear system solving - Widely used in ill-conditioned matrices - May not be suitable
various scientific and engineering fields for very large matrices due to memory
requirements
PROCEDURE :
STEP 1 : AX=B
STEP 2 : A=LL T

STEP 3 : LY=B
STEP 4 : LTX=Y
U …
YO
N K
H A
T

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