April 2015
Intermediate to advanced
340 pages
7h 21m
English
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The Cholesky decomposition
The Cholesky decomposition is another way of solving systems of linear equations. It can be significantly faster and uses a lot of less memory than the LU decomposition by exploiting the property of symmetric matrices. However, it is required that the matrix being decomposed be Hermitian (or real-valued symmetric and thus square) and positive definite. This means that when the matrix A is decomposed as 
, L is a lower triangular matrix with real and positive numbers on the diagonals, and 
is the conjugate transpose of L
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