Definition:Cholesky Factor

Definition

Let $\mathbf A$ be a positive definite matrix.

Let $\mathbf A$ have a Cholesky factorization in the form:

$\mathbf A = \mathbf R^\intercal \mathbf R$

Then $\mathbf R$ is known as the Cholesky factor of $\mathbf A$.

Also see

• Definition:Cholesky Factorization

• Results about Cholesky factorizations can be found here.

Source of Name

This entry was named for André-Louis Cholesky.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): Cholesky factorization
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): Cholesky factorization