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Wednesday, September 23, 2015

Schur complement: characterizations of positive definiteness for block matrices

Let a block matrix XSn be partitioned as

X=[ABBTC] where ASk.  If detA0, the schur complement is
S=CBTA1B The following characterizations of positive definiteness can be derived
  • X0 iff A0 and S0
  • If A0, then X0 iff S0
Example:
ATAt2I,t0tIt1ATIA0,t0[tIAATtI]0

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