Cholesky decomposition

Related Overviews


More Like This

Show all results sharing this subject:

  • Probability and Statistics


Quick Reference

If A is a non-singular symmetric matrix, then it can be expressed as the product LL′, where L is a lower triangular matrix and L′ is the transpose of L. The decomposition is useful in solving sets of linear equations and in matrix inversion.

Subjects: Probability and Statistics.

Reference entries