Cholesky decomposition

Access pattern (white) and writing pattern (yellow) for the in-place Cholesky—Banachiewicz algorithm on a 5x5 matrix.

In linear algebra, the Cholesky decomposition or Cholesky factorization is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful e.g. for efficient numerical solutions and Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices. When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.

单词	Cholesky decomposition
释义	Cholesky decomposition 英语百科 Cholesky decomposition In linear algebra, the Cholesky decomposition or Cholesky factorization is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful e.g. for efficient numerical solutions and Monte Carlo simulations. It was discovered by André-Louis Cholesky for real matrices. 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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