Paper 1, Section I, C

Numerical Analysis | Part IB, 2010

Obtain the Cholesky decompositions of

H3=(11213121314131415),H4=(11213141213141513141516141516λ).H_{3}=\left(\begin{array}{ccc} 1 & \frac{1}{2} & \frac{1}{3} \\ \frac{1}{2} & \frac{1}{3} & \frac{1}{4} \\ \frac{1}{3} & \frac{1}{4} & \frac{1}{5} \end{array}\right), \quad H_{4}=\left(\begin{array}{cccc} 1 & \frac{1}{2} & \frac{1}{3} & \frac{1}{4} \\ \frac{1}{2} & \frac{1}{3} & \frac{1}{4} & \frac{1}{5} \\ \frac{1}{3} & \frac{1}{4} & \frac{1}{5} & \frac{1}{6} \\ \frac{1}{4} & \frac{1}{5} & \frac{1}{6} & \lambda \end{array}\right) .

What is the minimum value of λ\lambda for H4H_{4} to be positive definite? Verify that if λ=17\lambda=\frac{1}{7} then H4H_{4} is positive definite.

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