Cholesky factorization.pdf

EE103 (Fall 2011-12) 6. Cholesky factorization ? triangular matrices ? forward and backward substitution ? the Cholesky factorization ? solving Ax = b with A positive definite ? inverse of a positive definite matrix ? permutation matrices ? sparse Cholesky factorization 6-1 Triangular matrix a square matrix A is lower triangular if aij = 0 for j i A = ? ????? a11 0 · · · 0 0 a21 a22 · · · 0 0 ... ... . . . 0 0 an?1,1 an?1,2 · · · an?1,n?1 0 an1 an2 · · · an,n?1 ann ? ????? A is upper triangular if aij = 0 for j i (A T is lower triangular) a triangular matrix is unit upper/lower triangular if aii = 1 for all i Cholesky factorization 6-2 Forward substitution solve Ax = b when A is lower triangular with nonzero diagonal elements ? ??? a11 0 · · · 0 a21 a22 · · · 0 ... ... . . . ... an1 an2 · · · ann ? ??? ? ??? x1 x2 ... xn ? ??? = ? ??? b1 b2 ... bn ? ??? algorithm: x1 := b1/a11 x2 := (b2 ? a21x1)/a22 x3 := (b3 ? a31x1 ? a32x2)/a33 ... xn := (bn ? an1x1 ? an2x2 ? · · · ? an,n?1xn?1)/ann cost: 1 + 3 + 5 + · · ·+ (2n? 1) = n2 flops Cholesky factorization 6-3 Back substitution solve Ax = b when A is upper triangular with nonzero diagonal elements ? ??? a11 · · · a1,n?1 a1n ... . . . ... ... 0 · · · an?1,n?1 an?1,n 0 · · · 0 ann ? ??? ? ??? x1 ... xn?1 xn ? ??? = ? ??? b1 ... bn?1 bn ? ??? algorithm: xn := bn/ann xn?1 := (bn?1 ? an?1,nxn)/an?1,n?1 xn?2 := (bn?2 ? an?2,n?1xn?1 ? an?2,nxn)/an?2,n?2 ... x1 := (b1 ? a12x2 ? a13x3 ? · · · ? a1nxn)/a11 cost: n2 flops Cholesky factorization 6-4 Inverse of a triangular matrix triangular matrix A with nonzero diagonal elements is nonsingular ? Ax = b is solvable via forward/back substitution; hence A has full range ? therefore A has a zero nullspace, is invertible, etc. (see p.4-8) inverse ? can be computed by solving AX = I column by column A [ X1 X2 · · · Xn ] = [ e1 e2 · · · en ] ? inverse of lower triangular matrix is lower triangular ? inverse of upper triangular matrix is upper triangular Cholesky factorization 6-5 Cholesk