Diagonal elements of Cholesky factor. Each X ES+ has a unique Cholesky factorization X = LLT, where L is lower triangular, with Lii > 0. Show that Lii is a concave function of X (with domain S2+). Hint. Lii can be expressed as Lii = (wzTY-¹2) ¹/2, where is the leading i x i submatrix of X. Y [:]

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