CholeskyDecomposition

CholeskyDecomposition[m] gives the Cholesky decomposition of a matrix m.

The matrix m can be numerical or symbolic, but must be Hermitian and positive definite.

CholeskyDecomposition[m] yields an upper triangular matrix u so that Conjugate[Transpose[u]] . u == m.

See Section 3.7.10.

See also: LUDecomposition, LinearSolve, LinearSolveFunction, FindMinimum.

New in Version 5.0.

Further Examples