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Linear Algebra, Optimisation and Numerical Methods / Positive Definite Matrices, Quadratic Forms, and Quadrics

Overview

This is the deepest topic in the unit — the direct payoff of Topic 4's spectral theorem. Once every symmetric matrix is known to diagonalise with real eigenvalues (unconditionally), a natural refinement follows immediately: what if those eigenvalues are further constrained to be positive? This single sign condition turns out to be equivalent to five or six superficially different-looking properties — a quadratic form that's always positive, a matrix that factors as A=LL⊤A=LL^\top, a matrix that is literally S⊤SS^\top S for some SS — and this topic proves the equivalences, builds the Cholesky factorisation that makes positive-definiteness computationally checkable, and closes with the Oxford M1 LA II capstone: classifying conics and quadric surfaces by orthogonal diagonalisation.

By the end of this topic you should be able to:

  • state and prove the equivalent characterisations of a positive (semi-)definite matrix;
  • construct and use the Cholesky factorisation of an SPD matrix;
  • classify a quadratic form by the signs of its matrix's eigenvalues;
  • apply the Hessian eigenvalue test to a multivariable optimisation problem;
  • classify a quadric surface using orthogonal diagonalisation.

In this lesson

  1. Contents
  2. The big picture

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