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.
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.
Source: Wikipedia "Cholesky decomposition" · CC BY-SA 4.0
Share this article: X · Bluesky