Concepts inAlgorithm 695: software for a new modified Cholesky factorization
In linear algebra, the Cholesky decomposition or Cholesky triangle is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose. 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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