Cholesky decomposition

In mathematics, the Cholesky decomposition of matrix theory is a special case of the LU decomposition which can only be done if A is a symmetric positive definite matrix with real entries.

You can decompose A into:

A = L L^T

where L is a lower triangular matrix with positive diagonal entries, and L^T denotes the transpose of L.

External links

For a brief history of the theorem and an explanation of its name see the entry on the Cholesky algorithm, decomposition, factorisation, etc. in

• Earliest Known Uses of Some of the Words of Mathematics: C

For an obituary of Andre-Louis Cholesky see

• Major Cholesky

For a nice account in French by Yves Dumont see

• Andre-Louis Cholesky