import numpy as np def cholesky_decomposition(matrix: np.ndarray) -> np.ndarray: """Return a Cholesky decomposition of the matrix A. The Cholesky decomposition decomposes the square, positive definite matrix A into a lower triangular matrix L such that A = L L^T. https://en.wikipedia.org/wiki/Cholesky_decomposition Arguments: A -- a numpy.ndarray of shape (n, n) >>> A = np.array([[4, 12, -16], [12, 37, -43], [-16, -43, 98]], dtype=float) >>> L = cholesky_decomposition(A) >>> np.allclose(L, np.array([[2, 0, 0], [6, 1, 0], [-8, 5, 3]])) True >>> # check that the decomposition is correct >>> np.allclose(L @ L.T, A) True >>> # check that L is lower triangular >>> np.allclose(np.tril(L), L) True The Cholesky decomposition can be used to solve the linear system A x = y. >>> x_true = np.array([1, 2, 3], dtype=float) >>> y = A @ x_true >>> x = solve_cholesky(L, y) >>> np.allclose(x, x_true) True It can also be used to solve multiple equations A X = Y simultaneously. >>> X_true = np.random.rand(3, 3) >>> Y = A @ X_true >>> X = solve_cholesky(L, Y) >>> np.allclose(X, X_true) True """ assert ( matrix.shape[0] == matrix.shape[1] ), f"Input matrix is not square, {matrix.shape=}" assert np.allclose(matrix, matrix.T), "Input matrix must be symmetric" n = matrix.shape[0] lower_triangle = np.tril(matrix) for i in range(n): for j in range(i + 1): lower_triangle[i, j] -= np.sum( lower_triangle[i, :j] * lower_triangle[j, :j] ) if i == j: if lower_triangle[i, i] <= 0: raise ValueError("Matrix A is not positive definite") lower_triangle[i, i] = np.sqrt(lower_triangle[i, i]) else: lower_triangle[i, j] /= lower_triangle[j, j] return lower_triangle def solve_cholesky( lower_triangle: np.ndarray, right_hand_side: np.ndarray, ) -> np.ndarray: """Given a Cholesky decomposition L L^T = A of a matrix A, solve the system of equations A X = Y where the right-hand side Y is either a matrix or a vector. >>> L = np.array([[2, 0], [3, 4]], dtype=float) >>> Y = np.array([[22, 54], [81, 193]], dtype=float) >>> X = solve_cholesky(L, Y) >>> np.allclose(X, np.array([[1, 3], [3, 7]], dtype=float)) True """ assert ( lower_triangle.shape[0] == lower_triangle.shape[1] ), f"Matrix L is not square, {lower_triangle.shape=}" assert np.allclose( np.tril(lower_triangle), lower_triangle ), "Matrix L is not lower triangular" # Handle vector case by reshaping to matrix and then flattening again if len(right_hand_side.shape) == 1: return solve_cholesky(lower_triangle, right_hand_side.reshape(-1, 1)).ravel() n = right_hand_side.shape[0] # Solve L W = Y for W w = right_hand_side.copy() for i in range(n): for j in range(i): w[i] -= lower_triangle[i, j] * w[j] w[i] /= lower_triangle[i, i] # Solve L^T X = W for X x = w for i in reversed(range(n)): for j in range(i + 1, n): x[i] -= lower_triangle[j, i] * x[j] x[i] /= lower_triangle[i, i] return x if __name__ == "__main__": import doctest doctest.testmod()