torch.cholesky

torch.cholesky(input, upper=False, out=None) → Tensor

Computes the Cholesky decomposition of a symmetric positive-definite matrix $A$ or for batches of symmetric positive-definite matrices.

If upper is True, the returned matrix U is upper-triangular, and the decomposition has the form:

$A = U^TU$

If upper is False, the returned matrix L is lower-triangular, and the decomposition has the form:

$A = LL^T$

If upper is True, and $A$ is a batch of symmetric positive-definite matrices, then the returned tensor will be composed of upper-triangular Cholesky factors of each of the individual matrices. Similarly, when upper is False, the returned tensor will be composed of lower-triangular Cholesky factors of each of the individual matrices.

Parameters

• input (Tensor) – the input tensor $A$ of size $(*, n, n)$ where * is zero or more batch dimensions consisting of symmetric positive-definite matrices.

• upper (bool, optional) – flag that indicates whether to return a upper or lower triangular matrix. Default: False

• out (Tensor, optional) – the output matrix

Example:

>>> a = torch.randn(3, 3)
>>> a = torch.mm(a, a.t()) # make symmetric positive-definite
>>> l = torch.cholesky(a)
>>> a
tensor([[ 2.4112, -0.7486,  1.4551],
        [-0.7486,  1.3544,  0.1294],
        [ 1.4551,  0.1294,  1.6724]])
>>> l
tensor([[ 1.5528,  0.0000,  0.0000],
        [-0.4821,  1.0592,  0.0000],
        [ 0.9371,  0.5487,  0.7023]])
>>> torch.mm(l, l.t())
tensor([[ 2.4112, -0.7486,  1.4551],
        [-0.7486,  1.3544,  0.1294],
        [ 1.4551,  0.1294,  1.6724]])
>>> a = torch.randn(3, 2, 2)
>>> a = torch.matmul(a, a.transpose(-1, -2)) + 1e-03 # make symmetric positive-definite
>>> l = torch.cholesky(a)
>>> z = torch.matmul(l, l.transpose(-1, -2))
>>> torch.max(torch.abs(z - a)) # Max non-zero
tensor(2.3842e-07)