MathJax

Friday, December 28, 2012

Properties of a positive definite matrix

Just found out some interesting properties about positive definite matrices.

Given an Hermitian matrix M

  • The eigenvalues of M is strictly positive.
  • It is the Gram matrix of linearly independent vectors.
  • It has a Cholesky decomposition. M = M' = L' * L = H' * H.  Where L is a triangular matrix with strictly positive diagonal elements.