Matrix Factorization

Six matrix factorizations dominate in numerical linear algebra and matrix analysis: for most purposes one of them is sufficient for the task at hand. - The Big Six Matrix Factorizations / HN

Cholesky Factorization - solving positive definite linear systems.

LU Factorization - solving general linear systems.

QR Factorization - solving least squares problems, computing an orthonormal basis for the range space of A, orthogonalization.

Schur Decomposition - computing eigenvalues and eigenvectors, computing invariant subspaces, evaluating matrix functions.

Spectral Decomposition - any problem involving eigenvalues of Hermitian matrices.

Singular Value Decomposition - determining matrix rank, solving rank-deficient least squares problems, computing all kinds of subspace information.

Written on May 20, 2022, Last update on May 21, 2022
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