Which specific matrix decomposition expresses a matrix as the product of a lower triangular matrix and its transpose for positive-definite matrices?
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Cholesky decomposition
The Cholesky decomposition (A = LLᵀ) is roughly twice as efficient as the LU decomposition for solving systems of linear equations and is widely used in Monte Carlo simulations and optimization.
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- What decomposition factors a positive-definite matrix into the product of a lower triangular matrix L and its transpose Lᵀ?