Difference between Cholesky decomposition and log-cholesky Decomposition

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Is there any difference between a Cholesky decomposition and a log-cholesky decomposition? If yes, what is the difference?




In the paper "An R package for dynamic linear models" by Giovanni Petris ( he refers to the paper "Unconstrained Parametrizations of Variance-Covariance Matrices" by Pinheiro and Bates (1996)).




In this case since the model is not a standard one, we use the general create dlm to define a build which we subsequently use to find the MLEs of the model parameters. IN order to avoid an optimization problem with complicated constraints, we parametrize V in terms of the elements of its log-Cholesky decomposition




I know "Cholesky decomposition" $L L^T$



$A = beginbmatrixa_11 & a_21 & a_31 \a_21 & a_22 & a_23\ a_31 & a_32 & a_33endbmatrix = beginbmatrixl_11 & 0 & 0 \l_21 & l_22 & 0\ l_31 & l_32 & l_33endbmatrix beginbmatrixl_11 & l_21 & l_31 \0 & l_22 & l_23\ 0 & 0 & l_33endbmatrix qquad , $



but I do not know "Log-Cholesky decomposition".










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    up vote
    6
    down vote

    favorite
    1












    Is there any difference between a Cholesky decomposition and a log-cholesky decomposition? If yes, what is the difference?




    In the paper "An R package for dynamic linear models" by Giovanni Petris ( he refers to the paper "Unconstrained Parametrizations of Variance-Covariance Matrices" by Pinheiro and Bates (1996)).




    In this case since the model is not a standard one, we use the general create dlm to define a build which we subsequently use to find the MLEs of the model parameters. IN order to avoid an optimization problem with complicated constraints, we parametrize V in terms of the elements of its log-Cholesky decomposition




    I know "Cholesky decomposition" $L L^T$



    $A = beginbmatrixa_11 & a_21 & a_31 \a_21 & a_22 & a_23\ a_31 & a_32 & a_33endbmatrix = beginbmatrixl_11 & 0 & 0 \l_21 & l_22 & 0\ l_31 & l_32 & l_33endbmatrix beginbmatrixl_11 & l_21 & l_31 \0 & l_22 & l_23\ 0 & 0 & l_33endbmatrix qquad , $



    but I do not know "Log-Cholesky decomposition".










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      up vote
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      down vote

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      up vote
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      Is there any difference between a Cholesky decomposition and a log-cholesky decomposition? If yes, what is the difference?




      In the paper "An R package for dynamic linear models" by Giovanni Petris ( he refers to the paper "Unconstrained Parametrizations of Variance-Covariance Matrices" by Pinheiro and Bates (1996)).




      In this case since the model is not a standard one, we use the general create dlm to define a build which we subsequently use to find the MLEs of the model parameters. IN order to avoid an optimization problem with complicated constraints, we parametrize V in terms of the elements of its log-Cholesky decomposition




      I know "Cholesky decomposition" $L L^T$



      $A = beginbmatrixa_11 & a_21 & a_31 \a_21 & a_22 & a_23\ a_31 & a_32 & a_33endbmatrix = beginbmatrixl_11 & 0 & 0 \l_21 & l_22 & 0\ l_31 & l_32 & l_33endbmatrix beginbmatrixl_11 & l_21 & l_31 \0 & l_22 & l_23\ 0 & 0 & l_33endbmatrix qquad , $



      but I do not know "Log-Cholesky decomposition".










      share|cite|improve this question















      Is there any difference between a Cholesky decomposition and a log-cholesky decomposition? If yes, what is the difference?




      In the paper "An R package for dynamic linear models" by Giovanni Petris ( he refers to the paper "Unconstrained Parametrizations of Variance-Covariance Matrices" by Pinheiro and Bates (1996)).




      In this case since the model is not a standard one, we use the general create dlm to define a build which we subsequently use to find the MLEs of the model parameters. IN order to avoid an optimization problem with complicated constraints, we parametrize V in terms of the elements of its log-Cholesky decomposition




      I know "Cholesky decomposition" $L L^T$



      $A = beginbmatrixa_11 & a_21 & a_31 \a_21 & a_22 & a_23\ a_31 & a_32 & a_33endbmatrix = beginbmatrixl_11 & 0 & 0 \l_21 & l_22 & 0\ l_31 & l_32 & l_33endbmatrix beginbmatrixl_11 & l_21 & l_31 \0 & l_22 & l_23\ 0 & 0 & l_33endbmatrix qquad , $



      but I do not know "Log-Cholesky decomposition".







      maximum-likelihood matrix matrix-decomposition dlm cholesky






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      edited Aug 31 at 13:09









      Ben Bolker

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      asked Aug 31 at 11:11









      Ferdi

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          I think it's less confusing to call it the log-Cholesky paramet(e)rization rather than the log-Cholesky decomposition (i.e., the "decomposition" part doesn't change ...)



          From Pinheiro's thesis (1994, UW Madison) - I think it has the same information as the paper you cite:




          6.1.2 Log-Cholesky Parametrization If one requires the diagonal elements of $boldsymbol L$
          in the Cholesky factorization to be
          positive then $boldsymbol L$
          is unique. In order to avoid constrained estimation, one can
          use the logarithms of the diagonal elements of
          $boldsymbol L$. We call this parametrization
          the log-Cholesky parametrization. It inherits the good computational properties of the Cholesky parametrization, but has the advantage of being uniquely
          defined.




          In other words, in your notation it would be:



          beginbmatrix log(l_11) & 0 & 0 \
          l_21 & log(l_22) & 0\ l_31 & l_32 & log(l_33)endbmatrix



          For what it's worth, when defining a parameter vector for a model you also need to define an order in which the matrix is unpacked; for example, in lme4 the log-Cholesky lower triangle is unpacked in column-first order, i.e. $theta_1 = log(l_11)$, $theta_2=l_21$, $theta_3=l_31$, $theta_4=log(l_22)$, ...






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            up vote
            5
            down vote



            accepted










            I think it's less confusing to call it the log-Cholesky paramet(e)rization rather than the log-Cholesky decomposition (i.e., the "decomposition" part doesn't change ...)



            From Pinheiro's thesis (1994, UW Madison) - I think it has the same information as the paper you cite:




            6.1.2 Log-Cholesky Parametrization If one requires the diagonal elements of $boldsymbol L$
            in the Cholesky factorization to be
            positive then $boldsymbol L$
            is unique. In order to avoid constrained estimation, one can
            use the logarithms of the diagonal elements of
            $boldsymbol L$. We call this parametrization
            the log-Cholesky parametrization. It inherits the good computational properties of the Cholesky parametrization, but has the advantage of being uniquely
            defined.




            In other words, in your notation it would be:



            beginbmatrix log(l_11) & 0 & 0 \
            l_21 & log(l_22) & 0\ l_31 & l_32 & log(l_33)endbmatrix



            For what it's worth, when defining a parameter vector for a model you also need to define an order in which the matrix is unpacked; for example, in lme4 the log-Cholesky lower triangle is unpacked in column-first order, i.e. $theta_1 = log(l_11)$, $theta_2=l_21$, $theta_3=l_31$, $theta_4=log(l_22)$, ...






            share|cite|improve this answer


























              up vote
              5
              down vote



              accepted










              I think it's less confusing to call it the log-Cholesky paramet(e)rization rather than the log-Cholesky decomposition (i.e., the "decomposition" part doesn't change ...)



              From Pinheiro's thesis (1994, UW Madison) - I think it has the same information as the paper you cite:




              6.1.2 Log-Cholesky Parametrization If one requires the diagonal elements of $boldsymbol L$
              in the Cholesky factorization to be
              positive then $boldsymbol L$
              is unique. In order to avoid constrained estimation, one can
              use the logarithms of the diagonal elements of
              $boldsymbol L$. We call this parametrization
              the log-Cholesky parametrization. It inherits the good computational properties of the Cholesky parametrization, but has the advantage of being uniquely
              defined.




              In other words, in your notation it would be:



              beginbmatrix log(l_11) & 0 & 0 \
              l_21 & log(l_22) & 0\ l_31 & l_32 & log(l_33)endbmatrix



              For what it's worth, when defining a parameter vector for a model you also need to define an order in which the matrix is unpacked; for example, in lme4 the log-Cholesky lower triangle is unpacked in column-first order, i.e. $theta_1 = log(l_11)$, $theta_2=l_21$, $theta_3=l_31$, $theta_4=log(l_22)$, ...






              share|cite|improve this answer
























                up vote
                5
                down vote



                accepted







                up vote
                5
                down vote



                accepted






                I think it's less confusing to call it the log-Cholesky paramet(e)rization rather than the log-Cholesky decomposition (i.e., the "decomposition" part doesn't change ...)



                From Pinheiro's thesis (1994, UW Madison) - I think it has the same information as the paper you cite:




                6.1.2 Log-Cholesky Parametrization If one requires the diagonal elements of $boldsymbol L$
                in the Cholesky factorization to be
                positive then $boldsymbol L$
                is unique. In order to avoid constrained estimation, one can
                use the logarithms of the diagonal elements of
                $boldsymbol L$. We call this parametrization
                the log-Cholesky parametrization. It inherits the good computational properties of the Cholesky parametrization, but has the advantage of being uniquely
                defined.




                In other words, in your notation it would be:



                beginbmatrix log(l_11) & 0 & 0 \
                l_21 & log(l_22) & 0\ l_31 & l_32 & log(l_33)endbmatrix



                For what it's worth, when defining a parameter vector for a model you also need to define an order in which the matrix is unpacked; for example, in lme4 the log-Cholesky lower triangle is unpacked in column-first order, i.e. $theta_1 = log(l_11)$, $theta_2=l_21$, $theta_3=l_31$, $theta_4=log(l_22)$, ...






                share|cite|improve this answer














                I think it's less confusing to call it the log-Cholesky paramet(e)rization rather than the log-Cholesky decomposition (i.e., the "decomposition" part doesn't change ...)



                From Pinheiro's thesis (1994, UW Madison) - I think it has the same information as the paper you cite:




                6.1.2 Log-Cholesky Parametrization If one requires the diagonal elements of $boldsymbol L$
                in the Cholesky factorization to be
                positive then $boldsymbol L$
                is unique. In order to avoid constrained estimation, one can
                use the logarithms of the diagonal elements of
                $boldsymbol L$. We call this parametrization
                the log-Cholesky parametrization. It inherits the good computational properties of the Cholesky parametrization, but has the advantage of being uniquely
                defined.




                In other words, in your notation it would be:



                beginbmatrix log(l_11) & 0 & 0 \
                l_21 & log(l_22) & 0\ l_31 & l_32 & log(l_33)endbmatrix



                For what it's worth, when defining a parameter vector for a model you also need to define an order in which the matrix is unpacked; for example, in lme4 the log-Cholesky lower triangle is unpacked in column-first order, i.e. $theta_1 = log(l_11)$, $theta_2=l_21$, $theta_3=l_31$, $theta_4=log(l_22)$, ...







                share|cite|improve this answer














                share|cite|improve this answer



                share|cite|improve this answer








                edited Aug 31 at 13:33

























                answered Aug 31 at 13:03









                Ben Bolker

                20.7k15583




                20.7k15583



























                     

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