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Cholesky decomposition

In mathematics, the Cholesky decomposition of matrix theory is a special case of the LU decomposition which can only be done if A is a symmetric positive definite matrix with real entries.

You can decompose A into:

A = L LT

where L is a lower triangular matrix with positive diagonal entries, and LT denotes the transpose of L.

External links

For a brief history of the theorem and an explanation of its name see the entry on the Cholesky algorithm, decomposition, factorisation, etc. in For an obituary of Andre-Louis Cholesky see For a nice account in French by Yves Dumont see