Application of Cholesky Decomposition
Some applications of Cholesky decomposition of the positive definite symmetric matrix are:
- It is used to solve the systems of linear equations.
- It can be used to compute the inverse of the matrix.
- Cholesky decomposition is widely used in Monte Carlo stimulation.
Cholesky Decomposition
Cholesky Decomposition is one of the types of many decompositions in linear algebra which is a branch of mathematics that deals with linear equations and vectors. Decomposition is the term related to the factorization of matrices in linear algebra, and Cholesky is one of the ways to factorize or decompose the matrix into two matrices. This article explores the Cholesky Decomposition in detail including its definition, steps to factorize matrices using Cholesky Decomposition, and some of the solved examples. So, let’s start learning about this exciting topic of Cholesky Decomposition.