Cholesky-Zerlegung
Cholesky-Zerlegung symmetrischer Matrizen: A=L LT
,
Allgemeine Form der Zerlegungsmatrix L
A = Lo LoT ===> GLS: Lo LoT- A=0 ===>löse GLS
Obere Dreiecksmatrix: Einsetzen, von oben nach unten
Cholesky-Zerlegung.ggb
A0 = {{16, -8, -20}, {-8, 40, 22}, {-20, 22, 45}}
A1 = {{9, 3, 0}, {3, 2, -5}, {0, -5, 50}}
A3={{1, 2, -4, 5}, {2, 40, -20, 10}, {-4, -20, 24, -20}, {5, 10, -20, 29}}
A4 = {{4, -8, 4, -4}, {-8, 17, -8, 13}, {4, -8, 5, -1}, {-4, 13, -1, 63}}
A5 = {{9, -15, 3}, {-15, 41, 23}, {3, 23, 51}}