We know that a positive deﬁnite can be done for Cholesky decomposition,but I want to know that how a positive semideﬁnite be done for Cholesky decomposition?The following sentences come from a paper. "There are two assumptions on the speciﬁed correlation matrix R. The ﬁrst is a general assumption that R is a possible correlation matrix, i.e. that it is a symmetric positive semideﬁnite matrix with 1’s on the main diagonal. While implementing the algorithm there is no need to check positive semideﬁniteness directly, as we do a Cholesky decomposition of the matrix R at the very start. If R is not positive semideﬁnite, the Cholesky decomposition will fail." Thank you for your answer.
Take the 2minute tour
×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

You can either:


