What is the name of the decomposition that factors a positive-definite matrix into the product $L L^T$?
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Cholesky decomposition
Cholesky decomposition is roughly twice as efficient as LU decomposition for solving linear systems. It is widely used in Monte Carlo simulations and optimization problems involving covariance matrices.
Also asked as:
- What matrix factorization represents a positive-definite matrix as the product of a lower triangular matrix and its transpose ($L L^T$)?