Proof of Cholesky Factorization Existence
Every symmetric positive definite matrix admits a unique Cholesky factorization. This factorization is numerically stable without pivoting and costs half the operations of general LU decomposition.
Statement
Let be symmetric positive definite (SPD). Then there exists a unique lower triangular matrix with positive diagonal entries such that . Moreover, for all .
Proof
Existence by induction. For : with , so .
For the inductive step, partition where is . Since any principal submatrix of an SPD matrix is SPD, is SPD. By the induction hypothesis, .
Seek so that .
From , we get (unique, since is nonsingular).
From , we need .
Positivity of . The quantity is the Schur complement of in . For SPD , all Schur complements are positive definite. Concretely: for any , let . Then since is positive definite and .
Therefore , completing the existence proof.
Uniqueness. Suppose with lower triangular with positive diagonals. Then . The left side is lower triangular and the right side is upper triangular, so both equal a diagonal matrix . From : . Comparing with gives , so on each diagonal entry. Since and have positive diagonals, , hence .
Explicit formula. The diagonal entries satisfy . Since (diagonal of SPD matrix) and the construction guarantees positivity at each step, for all .
Cholesky factorization is backward stable without pivoting: with . This is because the positive definiteness prevents the growth factors that necessitate pivoting in general LU. Moreover, attempting Cholesky on a non-SPD matrix will produce a non-positive value under the square root, providing a diagnostic for positive definiteness.
The Cholesky algorithm computes for and . The dominant cost is multiplications, for a total of flops. This is exactly half the cost of LU factorization, since Cholesky exploits symmetry.