cholsky分解 正定对称矩阵的三角矩阵“开平方”结果

"""
cholsky decomp :
A = L * L'
or A = U' * U
' means conjugate transpose
"""
import numpy as np

C = [[4, -2, 4], [-2, 5, 0], [4, 0, 6]]
print('C:\n', C, 'C tranpose:\n', np.array(C).T)

L = np.linalg.cholesky(C) #对额米特正定矩阵的开平方，得到一个三角阵列；
print('Low mat:\n', L, '\nverify\n', L @ L.T)

print('Upper mat:\n', L.T, '\nverify\n', L.T.T @ L.T)

print('自行讲下三角矩阵转置就得到上三角了，同样满足U\' @ U得到原本矩阵')

import scipy.linalg as sla

U = sla.cholesky(C)
print('scipy.linalg.cholsky 同样的：只不过默认上三角输出\n', U)

C:
[[4, -2, 4], [-2, 5, 0], [4, 0, 6]] C tranpose:
[[ 4 -2 4]
[-2 5 0]
[ 4 0 6]]
Low mat:
[[ 2. 0. 0.]
[-1. 2. 0.]
[ 2. 1. 1.]]
verify
[[ 4. -2. 4.]
[-2. 5. 0.]
[ 4. 0. 6.]]
Upper mat:
[[ 2. -1. 2.]
[ 0. 2. 1.]
[ 0. 0. 1.]]
verify
[[ 4. -2. 4.]
[-2. 5. 0.]
[ 4. 0. 6.]]
自行讲下三角矩阵转置就得到上三角了，同样满足U’ @ U得到原本矩阵
scipy.linalg.cholsky 同样的：只不过默认上三角输出
[[ 2. -1. 2.]
[ 0. 2. 1.]
[ 0. 0. 1.]]