Cholesky Decomposition
Given a symmetric Positive Definite Matrix 
, the Cholesky decomposition is an upper TriangularMatrix 
such that
See also LU Decomposition, QR Decomposition
References
Nash, J. C. ``The Choleski Decomposition.'' Ch. 7 in Compact Numerical Methods for Computers: Linear Algebra and Function Minimisation, 2nd ed. Bristol, England: Adam Hilger, pp. 84-93, 1990. Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. ``Cholesky Decomposition.'' §2.9 in Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England: Cambridge University Press, pp. 89-91, 1992.
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