Cholesky decomposition
Matrix decomposition
Nº Q515375 ★★
Uncommon · Knowledge
Cholesky decomposition
Matrix decomposition
In linear algebra, the Cholesky decomposition or Cholesky factorization (pronounced shə-LES-kee) is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful for efficient numerical solutions, e.g., Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices, and posthumously published in 1924.
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From Wikipedia
In linear algebra, the Cholesky decomposition or Cholesky factorization (pronounced shə-LES-kee) is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful for efficient numerical solutions, e.g., Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices, and posthumously published in 1924. When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.
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