Given a symmetric Positive Definite Matrix
, the Cholesky decomposition is an upper Triangular
Matrix
such that
See also LU Decomposition, QR Decomposition
References
Nash, J. C. ``The Choleski Decomposition.'' Ch. 7 in Compact Numerical Methods for Computers: Linear Algebra
and Function Minimisation, 2nd ed. Bristol, England: Adam Hilger, pp. 84-93, 1990.
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. ``Cholesky Decomposition.'' §2.9 in
Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England:
Cambridge University Press, pp. 89-91, 1992.