Cholesky Decomposition

Cholesky decomposition is a matrix factorization technique that decomposes a symmetric positive-definite matrix into a product of a lower triangular matrix and its conjugate transpose.

Because of numerical stability and superior efficiency in comparison with other methods, Cholesky decomposition is widely used in numerical methods for solving symmetric linear systems. It is also used in non-linear optimization problems, Monte Carlo simulation, and Kalman filtration.

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