Example · Undergraduate

Terms

TermThis exampleWhy
LU decomposition \(L = \begin{bmatrix} 1 & 0 \\ 1/2 & 1 \end{bmatrix}\), \(U = \begin{bmatrix} 4 & 2 \\ 0 & 2 \end{bmatrix}\)
PLU decomposition $P = I$, with $L$ and $U$ as in the LU decomposition
Cholesky decomposition \[L = \begin{bmatrix} 2 & 0 \\ 1 & \sqrt{2} \end{bmatrix}\] The matrix \(A = \begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is symmetric with positive eigenvalues $\frac{7 \pm \sqrt{17}}{2}$, so it has a Cholesky decomposition. Its factor $L$ is the LU factor $U$ with each row divided by the square root of its diagonal entry, transposed.
eigendecomposition $\Lambda = \operatorname{diag}\bigl(\frac{7 + \sqrt{17}}{2}, \frac{7 - \sqrt{17}}{2}\bigr)$, with $Q$ orthogonal
singular value decomposition $\Sigma = \Lambda$, $U = V = Q$, as in the eigendecomposition The matrix \(A = \begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is symmetric positive definite, so its eigendecomposition $A = Q \Lambda Q^{\top}$ is also a singular value decomposition.
polar decomposition $Q = I$, $S = A$ The matrix \(A = \begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is already symmetric positive definite, so its polar decomposition is $A = I \cdot A$.
Schur decomposition $T = \Lambda$, as in the eigendecomposition
Jordan normal form $J = \Lambda$, as in the eigendecomposition
Jordan–Chevalley decomposition $D = A$, $N = 0$
Toeplitz decomposition $H = A$, $K = 0$
symmetric matrix ✓
positive definite ✓ The matrix \(A = \begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is positive definite, because it is symmetric and \(x^{\top} A x = 4 x_1^2 + 4 x_1 x_2 + 3 x_2^2 = (2 x_1 + x_2)^2 + 2 x_2^2,\) which is positive unless $x_2 = 0$ and $2 x_1 + x_2 = 0$, that is, unless $x = 0$.
positive semidefinite ✓

Distinctions using this example

  • Positive definite vs. positive semidefinite: The matrix \(\begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is positive definite, because its leading principal minors $4$ and $4 \cdot 3 - 2 \cdot 2 = 8$ are positive. So it is also positive semidefinite.
  • Types of matrix decompositions: The matrix \(A = \begin{bmatrix} 4 & 2 \\ 2 & 3 \end{bmatrix}\) is symmetric positive definite, so it has every decomposition in the table, including a Cholesky decomposition. Its eigendecomposition, Schur decomposition, Jordan normal form, and singular value decomposition all coincide, and its polar and Toeplitz decompositions are trivial.

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