Let $S = S^T$ be a symmetric $n × n$ matrix with Cholesky decomposition $S = LDL^T$ . Prove or disprove the following statements:
The diagonal elements of D are the eigenvalues of S.
Any help will be much appreciated!
Let $S = S^T$ be a symmetric $n × n$ matrix with Cholesky decomposition $S = LDL^T$ . Prove or disprove the following statements:
The diagonal elements of D are the eigenvalues of S.
Any help will be much appreciated!
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This is not true. Take $$ S=\pmatrix{4&2\\2&1} $$ with eigenvalues $0$ and $5$. The $LDL^T$ decomposition is given by $$ S=\pmatrix{ 1& 0 \\ 1/2& 1} \pmatrix{ 4 & 0 \\0&0} \pmatrix{ 1& 1/2 \\ 0& 1}. $$