Cholesky Decomposition

In linear algebra, the Cholesky decomposition, or Cholesky factorization, decomposes a Hermitian positive-definite matrix into the product of a lower triangular matrix and its own conjugate transpose, which is useful for efficient numerical solutions such as Monte Carlo simulations. It was discovered by Andre-Louis Cholesky for real matrices and published only after his death, in 1924, and where it applies it is roughly twice as efficient as the LU decomposition for solving systems of linear equations. This description is adapted from Wikipedia contributors under CC BY-SA 4.0; changes were made. https://creativecommons.org/licenses/by-sa/4.0/