Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Eigenvalue VS Cholesky Decomposition

  1. Jan 19, 2012 #1
    Assuming the matrix is positive definite (necessary for cholesky decomposition).
    Which is faster? Which is more accurate? Is there a reliable source that has all the most common decompositions listed in order of accuracy and speed?
     
  2. jcsd
  3. Jan 21, 2012 #2
    What, exactly, is your question?

    Are you asking the quickest way to check if a matrix is positive definite (either by calculating all the eigenvalues and checking that they are all greater than or equal to 0, or doing a Cholesky Decomposition)?

    If so, doing the Cholesky Decomposition is the quickest and easiest way to check if a matrix is positive definite. Computing the eigenvalues is quite a task. The Cholesky Decomposition is a lot easier and faster; if the factorization succeeds, the matrix is positive definite. If the factorization fails, the matrix is not positive definite.
     
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook




Similar Discussions: Eigenvalue VS Cholesky Decomposition
Loading...