Cholesky Factorization/Examples

Examples of Cholesky Factorizations

Arbitrary Example 1

Arbitrary simple example of a positive definite matrix with its Cholesky factorization:

$\begin {pmatrix} 1 & -1 \\ -1 & 5 \end {pmatrix} = \begin {pmatrix} 1 & 0 \\ -1 & 2 \end {pmatrix} \begin {pmatrix} 1 & -1 \\ 0 & 2 \end {pmatrix}$